As a long-time Mac user, I've never EVER used copy/paste for filesystem management. It's always struck me as an odd windows thing.
The "proper Mac way" as I know it is to use a drag with modifier keys. Holding down option while dragging will make a copy, holding down command will force a move if you're dragging to another volume, and holding down command and option will create an alias.
Copy/paste does work, but the paste location will be whatever folder is open, not whichever folder is selected. So, copying the selected file, double-clicking the destination folder, and then pasting will work the way you want it to.
IMO, option-dragging is faster.