This is one of the most useful features of Quicken and I need it now because I am cleaning up transactions for my taxes and doing them one at a time is very time consuming.

OK, I flew off the handle (english) or perhaps I was just standing on my wire (german).

I guess one way to do it is to shift click and ctrl click to get a group of records, then right click and move to the category I want, works for me.

If you want to delete that category, you can do that, and choose to which category you want to move the corresponding transactions.
You can do the same with payees.