Welcome to the forum. I hope you won't mind that I have changed the title of your post, in order to make the thread easier to find for anyone who may be interested.
In addition to @griffman's macro below there is one by @Zabobon that may interest you (I haven't tried it since I don't use Apple Mail). See the thread "Trying to move a Mac mail Message to a folder".
If you are open to the idea of changing to one of the available[1] email clients that support the required functionality as standard, see the thread "Apple Mail: Copying/Moving Emails to Mailboxes by Keyboard (NOT Drag and Drop)" for a discussion.
Plus one by the makers of Mail Act-On that has not yet been released. ↩︎