How To Archive Mail in Mail.app
Locate Folder to Archive

In this example I’ll archive a folder located “On My Mac” called “2008″ Inside it are three nested folders. If you need some help in filing your email messages prior to archiving, see this this post.
Archive Mail Box

Select the folder to archive and highlight. Right click or CTL + Click and select “Archive Mailbox.
Save to Desktop

Save the file to your desktop. Ensure that the “Export all Subfolders” option is selected and then click on the “Choose” button.
Your File is now on your desktop

Ensure that there is one file and one folder on your desktop with the same name as the folder you archived. All you really need is the folder. Save it to your archive disk or other appropriate location.
Test Import

A backup or archive is only as good as your ability to restore the files. So do a test import. Click on the “File” menu and then select “Import Mailboxes”.
Select Import Type

Click to select “Mail for Mac OS X” and click on the “Continue” button.
Navigate to the file/folder to import

Navigate to your backed up folder and select. Click on the “Choose” button.
Select the folder and sub-folders to import

Select all of the subfolders you want to import and then click the “Continue” button.
Import Finished

Once the import is done, click on the “Done” button.
Check the Import

Go to the “Import” folder in Mail.app and ensure your folders and mail are intact. When you are certain that your mail is securely archived, you can delete your original mail folder. NOTE: Delete any file or folder at your own risk.