This AppleScript can be used to help quickly file spam messages into a spam training folder

move-msg-applescript

-- This script moves messages to a spam training folder
-- Set some default values to be used later in the script; not all values may be used
property destMailbox : "Spam Training"
property destAccount : "example.com"

-- Handler called when running script from script menu
on run
	tell application "Mail"
		set theSelectedMessages to selection
		if ((count of theSelectedMessages) < 1) then
			beep
			return
		end if
		repeat with theMessage in theSelectedMessages
			if (read status of theMessage) is false then
				set read status of theMessage to true
			end if
			move theMessage to mailbox destMailbox of account destAccount
		end repeat
	end tell
end run