You can move messages to a specific folder, select the messages you would like to move in the message list, and then:

• Drag and drop the selected messages to a location in the folder pane. If the folder is within a different account, drag them to the account name, then drop them into a location in the pop-up panel that displays.
• Click the File toolbar button and navigate to your desired location. (To add this button to the toolbar, see this article: Customizing the Toolbar)
• Right-click on the selected messages to bring up a contextual menu, then select Move to... and then navigate to your desired location.
• Use the Quick Move feature by pressing the V key on your keyboard.