Just select the junk mail and click "Junk". Mail will move the junk email to the junk inbox if you have set the filters to Auto. If it is in training, the email will stay in your inbox.
The bit about teaching Mail to understand what's junk confuses me. Mail doesn't seem to remember when I click on "Not junk" - the next time round, the same sender gets marked as junk. What do I need to click and not click in the prefs in order for Mail to learn?