Back until a few releases ago (OS X Tiger, i think) OS X's Mail app would remember the last folder you moved a message into, even between launches. In other words, if you moved a message into the folder "Orders," the menu item Message > Move to 'Orders" Again would persist until you moved a message to a different folder. This was very handy for me, as I rarely file messages, except for receipts from web-based shopping.
I finally got sick of manually filing these messages. (Hey, it only took a couple of years, right?) So I investigated ways of automating this process. This Mac OS X Hints thread was useful, but way overkill for my needs.
I ended up creating a Keyboard Maestro macro that simply moves all selected messages in the "Orders" folder, which is "On my Mac," inside the "Personal" folder. It's only available when Mail is the active app, so it's not otherwise cluttering up my macro menu. See below for the details.
Naturally, after creating this solution, it occurred to me that there's probably a much easier way. And there is, albeit still a little manual. Just add the target folder to Mail's Favorites Bar, then you can drag a message to the folder. Yeah, sure, that works too.