I’m new to GMail and think it’s unbelievably good!
However, there’s a simple concept I’m missing: when I’m reading through my messages, I can navigate Newer and Older, however if I delete a message I’m back at the Inbox. This is different than any other Email client.
Maybe I’m missing a concept in the GMail philosophy?
Delete? You mean Archive 
(deleting is not the Gmail Way).
Anyway, I don’t think you can do it one step, but if you have keyboard shortcuts enabled you can press y to archive then o to open the next message (because the next message will already be selected in the inbox).
I do all my deleting and saving at the start and end, gives me time to reconsider… YMMV