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Here's how I do this, when I'm in project mode:

I hold down the Command key, and click the Inbox in the sidebar. This makes the Inbox grouping appear at the top of the content window.

Then I drag the task into the Inbox. Because the Inbox is now showing at the top, I can see it up there. In the inbox grouping at the top, both the Project and Context dropdowns are there, so I can select a new project there.

I like this better than using the inspector because the typeahead is better.