The happenings of the day.
You don't need to explicitly move the message to your All Mail folder. You just need to tell Mail.app not to move deleted messages to the trash folder.
See Google's recommended IMAP settings here: http://mail.google.com/support/bin/answer.py?answer=78892
When I have a message highlighted and hit delete or backspace, it's removed from my inbox but not trashed.
And I agree with you: using the keyboard preferences to set up shortcuts for filing messages in other folders is super useful!- Ben Chun on Application Keyboard Shortcuts for Mail.app