I created a folder called "Trash it" in my mailboxes within Mail. Here, I (unfortunately) manually move either the spam filtered by Junk Mail, or the messages I need to trash. When I'm done, I quit Mail.
Then I go in my home folder's ~/Library -> Mail -> Mailboxes folder (an alias or sidebar entry will make it shorter), and I drag and drop the file "Trash it.mbox" to the actual Trash in the Dock. Finally, I choose File -> Secure Empty Trash from the Finder's menu. When Mail is run again, the "Trash it" folder is still there, but its contents have been securely trashed.
Sorry, maybe somebody has a better solution, but I'm not a programmer...

