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I usually take photos, then move them to a new album on my iDevice. Is there a way to delete then from the Camera Roll, but keep them in the new album?

Nope, the camera roll is basically the main library for all photos taken and saved in iOS. I feel your pain though.

The only way to keep it in the album only is to create these albums on your PC or Mac and sync that whole photo library over. Not very post-PC.
 
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