Each time you label a message it should also still keep its "Inbox" label as well, which can be removed automatically by checking the "Remove the inbox label when applying another label" under the "Change Settings" function, or by manually removing the Inbox label using the drop down box located under the messages in your Inbox. This same drop down box, which shows "Label Selected:" by default, can also be used to apply multiple labels to a single message, which will allow you to access it from whatever folder labels you apply to it.
However, please note that when you delete a message, it -does- delete the message from any and all folders in your messages. The message simply ceases to exist entirely. If you think something might be really important, you might consider backing it up using some other method.