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.