To make sure this good piece of information is preserved and it can be put on the wiki later on I have created a thread for it here. Setting mutiple categories at once - hack is explained in thread "By sonicp. How can I find out what the modid for a mod is?", post number #4 by GSDFan.
Out of the Box, no there isn't a way to do that, but thinking out of the box you can enter all of the needed Nexus id numbers in the new mod category and clear out all the id numbers from the other categories. This will allow new mods to go to that category. You can then do the right click set category and set primary category to assign them later on. Sort of a six of one, half a dozen of another fix. This is a hack and worked in my test. No telling if it will break anything.
EDIT: 2014/10/03 By GSDFan Fix broken link.