Delete mail without using trash bin

In many mail apps I can hit shift-delete and messages will be deleted without sending a copy to the trash-bin. This was always a great way to delete junk mail easily without it cluttering up trash.

Old forum posts suggest Command-X used to do this in Apple mail, but it doesn't work for me now (1/7/2015). Is there a way to enable or activate this feature so I can just permanently delete emails without saving a copy of it anywhere? Please note, I'm trying to do this directly from the inbox, I know that I can delete things permanently from trash, that is not what I'm trying to do.

Thanks for any help!