Shift+Delete simply avoids the copying of deleted messages to the Trash folder. The messages can be recovered if the original folder hasn't been compacted. Compacting is the process that permanently deletes mail, but if you want to have it done automatically, consider enabling the Expunge Inbox on Exit setting:

http://kb.mozillazine.org/Deleting_messages_in_IMAP_accounts#Misc

This only partially answers the question. What I want to know is --- Is there a way to '''permanently '''delete e-mails without going through the compacting process?

Not that I'm aware of. See the 'Remove it immediately' section in the kb article cited above. If such an option existed, there would be many complaints by users that TB provided no means of recovering accidentally-deleted messages.

The traditional MBOX storage (single file) requires compaction. The alternative Maildir storage system -- individual files for each message -- wouldn't require compaction. However, there are a lot of cautions about how to convert and remaining bugs yet to be fixed. You could start with this article for more information: Maildir in Thunderbird.