An alternative to deleting messages from the Inbox is moving the messages to folders. To do this, the destination folders will need to be created. If you already have a folder or folders in which to place the messages, skip the folder creation steps.
To Create New Folders
Right click on the account you want to create the new folder within. This will be your email address and should be located near the upper left corner of the Thunderbird window.
In the new menu choose New Folder.
Enter a folder name in the designated field. Finally, click OK and the folder will appear under your account listing.
To Move Messages
Go to the folder which currently holds the messages you want to move. To select more than one message at a time, hold down the Control key (abbreviated "Ctrl" on your keyboard) and then click on each message to be moved.
When all of the desired messages have been selected, right click on any of the messages to open up a menu.
Within the new menu point to Move to and choose the folder you just created. This will move all selected messages to the new folder and remove them from the original location.
Messages can be dragged to the desired folder as well.