I have been looking for this all day and as yet I cannot find it.
To summarise Alex's answer, it is correct so far as you get a trash folder to choose, however the trash folder is the servers trash folder not the local one. I cannot yet find a way to do this to a local directory at all only to the servers trash.
In In order that you don't have to worry about the trash however there is an option for you to manage it and ensure the mail on the server is deleted.
Other than that there is the option to check the option above to just delete, you would have to be absolutely certain every time, but its there if you want it.
Right-click Account name > settings > server settings > check the box
for empty trash on exit.
Good luck.
I found a workaround by adding a message rule to copy all incoming messages to my LOCAL Inbox, and only reading mail from the Local Inbox. You can collapse the IMAP account to partially hide it. When deleted from the Local Inbox, it goes to the Local Trash. There is no option to set the Trash folder for Local Folders, but it goes where I want it. (Also, change Copies&Folders to put Sent, Drafts, Templates into Local Folders.) – Chloe – 2013-03-14T20:26:57.133