Copy/pasted from Mail Help:
To manually back up Mail messages (emails)
You might wish to manually back up all your Mail messages from time-to-time. To back up entire mailboxes (where Mail stores messages), such as your Inbox. To back up your Mail mailboxes, follow these steps:
1. Quit Mail if it's open.
2. From the Finder's Go menu, choose Home.
3. Open the Library folder.
4. Copy the folder "Mail" to your backup location, such as a different volume or burnable disc. Important: Do not remove the Mail folder from ~/Library. If you're backing up to the same volume, hold the Option key as you drag the folder to make a copy instead of moving it.
You can restore backed-up mailboxes at any time by quitting Mail and following the above steps, except for the last step where you copy your backed up Mail folder to ~/Library, instead of from it.
