Filing messages to specific folders is as simple as dragging a message from the list with the mouse and dropping it on the folder you want it moved to. That also works with multiple messages selected.
If the target folder is a subfolder and not currently visible, just hold the mouse over the parent folder while dragging and it’ll expand automatically after two seconds. Move the mouse (while dragging) over the folder list footer to let it scroll until the target folder moves into sight.
Copy instead of moving
There’s also the possibility to copy a message into another folder instead of moving it there. Holding down the Shift key on the keyboard while dropping one or multiple messages on the destination folder will open a menu where you can choose to either Move or Copy them.
Moving from the Message View Screen
When reading a message in the full message view screen, you’ll find a drop-down menu labelled Move to... in the toolbar on top. Select a folder from that menu and the message will be moved there. The message view screen will then load the next message in the list of the current folder.
Please see Move to Another Folder.