I have only just started with Outlook 2010, but it appears that I can still do what I used to do in Outlook 2003. On a received email, I add my keywords to the subject line, then press escape and save the email when prompted.
For instance, the subject line was "Re: in training". I change that to "JIGSAW ||| Re: in training". The caps and the vertical lines tell me that it's something I added (and I can take that off if by chance I want to re-use the email), plus the caps make it easy to spot in a list.
This saved my life in a previous job where I had about 1200 subfolders in Outlook. Plus it's searchable.