Copying is defined behavior for Send To...
command, I don't think you can change that. Best solution for your case would be to add Move To...
command to the context menu. To do that you will need to modify registry entry:
HKEY_CLASSES_ROOT\AllFilesystemObjects\shellex\ContextMenuHandlers
Right Click on it > New Key > Name > Move To > Enter following value:
C2FBB631-2971-11D1-A18C-00C04FD75D13
Result should look similar to this
Also see: