That's a good question and I cannot figure out how to do that. I've tried a couple things, but it seems to be that when you click delete it will return you to the inbox.
If you have Gmail's keyboard shortcuts turned on (under "Settings), you can archive an email/conversation and move to the next one by pressing y, then o.
If you prefer to delete the message, press # to delete, then o to go to the next message. Gmail will still switch back to the inbox for a moment between key presses.