Moving messages is much easier in WorldClient thanks to the simple drag and drop feature. Just like a Windows application you can pick up one or more messages and either move or hold down <CTRL> to copy them to a new folder. A nice feature is that if you hang over a collapsed folder this will expand allowing you to drop the messages into a sub folder.
This feature is available in the Lookout Theme for WorldClient, and works across multiple browsers including Firefox, Internet Explorer and Google Chrome. If you have tested this in any other browsers please let me know in the comments.