Deleting files or folders in Mac OS X is a matter of moving them to the Trash. Deleting emails with Mac OS X Mail is a matter of moving them to the Trash.
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You can drag and drop them on the account's Deleted Items folder, but
- moving them to the system Trash located in the Dock
will work just as well.
Don't expect the deleted emails to be in the system trash, however. They'll be moved to their respective account's Deleted Items folder.

