That is EXACTLY what IMAP is intended to do. So that you don't have to delete messages twice, from two readers.
If you want to just have a read-only copy on your phone, use POP (but make sure you tell it NOT to remove messages from the server). Then you will have a separate copy on your phone and can delete them without impacting what is on the server.
I haven't used a Blackberry in quite some time, but I *think* there's an intermediate server in there, so what you delete is one step removed from your server.
Hopefully they'll get IDLE support going for IMAP in the email client and then it will really be sweet!