No, there's no way to do that. It probably wouldn't be hard to add a feature on top of the coin-control feature to make this possible. Basically, an extra checkbox to each row that is, instead of "enable or disable for this transaction", you would have "enable or disable permanently".
Hmm... I guess that's easy enough to add for 0.91-beta...
If at-all possible, it'd be a very nice feature. I prefer to keep everything in the same wallet, as, if I do want to send it, I'd like to combine inputs with my other addresses, but, I'd prefer to spend it only when I specifically say so.