I thought applications switching workspaces was an issue in all window managers, but it never bothered me quite enough to investigate changing it. But what do you know, in Xfwm you can change it.
When using several workspaces in Xfce, I had the problem that when I pressed a link in Claws-Mail, it opened Iceweasel, but it also move my Iceweasel from workspace 3 to workspace 1 (where Claws-Mail was).
To avoid this, start the xfce4-settings-editor, select xfwm4 in the list, and go to general->activate_action (in my case it is the topmost entry), and change the string value from “bring” to “switch”.
Thanks to Gusnan.