You have a couple of options. You can use SuperDuper or Carbon Copy Cloner to back up your files. It is best to use a separate drive from your start up drive for the storage of your backed up files.
Or you can export as PDF the specific mail you wish to back up.
Or you can archive specific mail of saved mailbox.
There is another third party tool that is gaining popularity because of its multiple features for email backup solutions for all the email clients in mac. Its Mail Backup X, you can have a look at its features here: http://www.mailbackupx.com/
Mail Backup X have provided a new turn in email backup for mac, honestly, I am too happy with this tool. All I had to do is fill in my email account details and provide the path where to store the backup. And that's it. It creates backup automatically every time I turn on the system. I wish it was free. Thanks everyone for the participation.