We are using 3 Blackberry devices (soon to be a few more) at work.
We are only on the Web Client, so we have to manually delete mail in both places.
This hasn't been a problem for us, as the dual-location mail has been a good backup system.
Also, most of the time, we respond to urgent messages immediately, but examine messages with large attachments at our workstations.
I think the extra few seconds to delete the messages gives me a good review, and sometimes reminds me to do something that I forgot about after reading on my Blackberry