To train SpamSieve with spam messages, select one or more of them and then choose SpamSieve - Train as Spam from the Message menu. The messages will be colored in gray and moved to the Spam mailbox. To train SpamSieve with good messages, select one or more of them and then choose SpamSieve - Train as Good from the Message menu.

The keyboard shortcuts for these commands are Command-Control-S and Command-Control-G. You can change the keyboard shortcuts from the Keyboard & Mouse pane of System Preferences. Click on the Keyboard Shortcuts tab. Then click the + button, choose Mail for the application, and enter the appropriate menu title.