Good news. We are going to add this to the 4.2 release.
Starting in 4.2, if you hold the Option key while dragging data from one list/folder to another, the data will be moved. If a move can't be completed because the data is in a smart list or you are moving from My Collection then it will work like it does today where a reference is made.
Strangely enough, typical Mac behavior is that a drag-and-drop *moves* and an Option-drag-and-drop *copies*, but I guess it's progress...