Should rules for Mail.app apply automatically?

I'm confused, as mail comes in, are the rules to apply automatically or do you have to manually assign the rules every time? Currently, my rules do not apply automatically so I have to select all mail and then apply rules. Is this correct?

 

It's ticked, but I am still having to manually apply rules.

I have a MobileMe mail account that forwards all email to my Gmail account for storage. The problem is, my Mail account is set to pull mail from both MobileMe and Gmail, so I get duplicate email.

I've set up a rule which send the Gmail message to junk mail, but it's not automatic. Any suggestions?

 

I'm making the transition from Gmail to MobileMe so that's why I need both open for now. However, I fixed the problem. Rules do not apply to mail that has already been read. I was using Gmail web interface to read the mail, so by the time I opened Mail in my Mac rules were bypassed. I also made a rule in Gmail to mark any mail from MobileMe as read, this was also causing the problem.