Sorry, such feature can not be implemented.
At the moment it is already possible to filter search results in main products grid and drag products to categories from there:
http://screencast.com/t/L9RuBRY4n
As another way, you may filter all products in main products grid, find a product quickly by "Filter Row" and drag it to specific category:
http://screencast.com/t/DXJgUmWuB3hK
Bridge connection will speed up filtering if you have huge amount of products.