It takes less time to close a thread than to move one. We have lives (well, at least I do), so time is important.
Also very important is the fact that most misplaced threads aren't there "by mistake". They're misplaced because people refuse to read the forum descriptions that clearly indicate what belongs in what forum.
I refuse to pander to these people. Moving misplaced threads condones ignoring proper location, because then people think that the worst that can happen is that it gets moved. I don't want to encourage it, so I close them if they're in the wrong place. Only if I think the thread is of unusually high value will I leave it open and move it.
I do not notify, it's too time-consuming. I will often post the reason in the thread, though, after I close it.
tooki