I was actually able to come up with something, it's not perfect though. The code works, but for some reason only once. It changes the category from "Add to Folder" to "Added to Folder", but I can't get it to save:
Private WithEvents Items As Outlook.Items
Private Sub Application_Startup()
Dim Ns As Outlook.NameSpace
Set Ns = Application.GetNamespace("MAPI")
Set Items = Ns.GetDefaultFolder(olFolderInbox).Items
End Sub
Private Sub Items_ItemChange(ByVal Item As Object)
On Error Resume Next
Dim email As Outlook.MailItem
If TypeOf Item Is Outlook.MailItem And Item.Categories = "Add to Folder" Then
Set email = Item
email.Categories = ""
email.Categories = "Added to Folder"
email.SaveAs "C:\Users\thomas.oconnell\Desktop\Test\" & email.Subject, olMSG
End If
End Sub