The Gladinet Cloud Desktop does exactly what I want. It connects to the cloud storage and makes it available in Windows Explorer as a normal mapped drive. Now you can easily copy, remove and drag files from one location to another. There is no difference when using a physical folder versus the cloud folder. A great example of a Software + Services solution. It actually allows you to map a lot more cloud services such as Amazon Storage, Google Docs, etc... but I haven't played with those yet.
If you like SkyDrive, use Windows I can really recommend using Gladinet.