In Mac OS X 10.4 Tiger or later, you can use the simple and fun MsgFiler Mail plug-in to file Mail messages using keyboard shortcuts.
New in Apple Mail 4 (the 10.6 Snow Leopard version), to assign a keyboard shortcut to any mailbox on the Move To or Copy To submenu, you can also open the Keyboard pane of System Preferences, click Keyboard Shortcuts, and select Application Shortcuts in the list on the left. Click the + button, choose Mail from the Application pop-up menu, type the name of the mailbox in the Menu Title field, click in the Keyboard Shortcut field, and press the keystroke combination you want to use. Then click Add.
From Tonya Engst