I'd like to do the same thing for my customer. Since I blundered around a bit looking for the answer, I thought I'd add a few more specifics.
1) Add another e-mail account (something like "spam@****").
2) Under E-mail Filtering, in the drop-boxes select "SpamAssassin Spam Header", "begins with Yes" and then put the name of your spam mailbox in the 'destination' box.
Regards,
Steve W.