So, without further ado, the trick. We all know how pesky it is to have to shift-click scv's back to mineral patches after ordering them to build something. I have nightmares that one day, I'll lose my whole fucking base while tending to this tedious task. Luckily, there is another way.
When ordering your scv to build a supply depot, or any other building, select an scv from the mineral line that is carrying a parcel of minerals. This way, when you make the build command (b+s), you can issue a further command (shift+c) to send the worker back to the CC after he's done, whereafter he will continue mining. (For those who don't know, c is for return cargo).
The idea behind this neat little trick is, if practised well, it can save you substantial time and APM.
The downsides to this approach are that 1) some minerals are tied up while building, and 2) selecting mineral-carrying scv's is harder than box-clicking the mineral line. However, in certain cases where you only have to build one depot and are pressed for time, this trick could certainly be useful.
I wanted to make sure the action is foolproof so I tested it out in a custom game. This revealed that the command works in most cases, except for when you issue it twice, either by doing shift+c twice or shift+c+c. In such cases, the scv will return the minerals but will not go back to mining.
This trick also works with multiple scv's building multiple buildings (obviously, the return command should only be issued once all scv build commands have been issued).