Affecting labels to your mail to keep a clean Inbox is easy. Right-click the mail you want to labelize and select the ‘label’ section. The list of your existing labels will be displayed. Clicking a label in the list will affect it to the mail.
Do the same to ‘Archive and Label’ a mail.
You can also affect a label with ⌘-L
or Archive and Label with ⇧-⌘-L