When You receive a new message, You have an opportunity to apply any filter to sender straight in the message reading view. To do that:

1. open the message;
2. click on the name of sender;
3. in the drop-down menu choowse option "Create a filter".

After this You'll get redirected to the "Options"  section, where You are able to finish adding any filter to the certain sender.
More about filters - here.