You can use mkdir
:
mkdir -p ~/bar/baz/ && \
mv foo.c ~/bar/baz/
A simple script to do it automatically (untested):
#!/bin/sh
# Grab the last argument (argument number $#)
eval LAST_ARG=\$$#
# Strip the filename (if it exists) from the destination, getting the directory
DIR_NAME=`echo $2 | sed -e 's_/[^/]*$__'`
# Move to the directory, making the directory if necessary
mkdir -p "$DIR_NAME" || exit
mv "$@"