I'll add one more solution to those already here:
While dragging the files, hover over any directory you want to open. After a second a highlight will blink around that folder, then Finder will open it. You can do this as many times as you want with any icon in the Finder window (both left and right panels). If you get completely lost, just drag your mouse outside the Finder window, and you'll be returned to where you started dragging.
It's a bit slow for deep paths, but acceptable for small, infrequent moves.
And... If you didn't realize it the Macintosh HD is also spring loaded on your desktop.