TB Quickmove 0.0.5a is a Thunderbird extension with which you can assign hotkeys and context menu entries to frequently used target folders to quickly move messages there without having to use drag-and-drop.
QuickFile is another extension that does the same thing.
I'll check both of them out, it's exactly what I need (found via photomatt)
Update: Unfortunately, after trying them out, it turned out that both are not usable under OS X. With TB Quickmove, you cannot select the hotkeys - the OK button doesn't work. And with Quickfile, you can select the hotkey, but it doesn't work - apart from the fact that the modifiers don't fit for OS X (what is Accel, what is Meta under OS X?). That's a shame.