You could just save the messages in multiple folders; however metadata updates to the message (e.g. when you have read it) aren't shared. It's probably possible to abuse IMAP so that the server treats folders as keywords, but it's probably more kosher to do so via an extension. I believe a suitable ones are in the works.
no subject
Date: 2005-03-31 01:00 pm (UTC)http://www.ietf.org/internet-drafts/draft-ietf-imapext-annotate-12.txt
http://www.ietf.org/internet-drafts/draft-ietf-imapext-list-extensions-11.txt