Isso não pode ser feito no AppleMail como eu descobri, mas você pode baixar um aplicativo para fazer isso por você, eu uso eMessage
eMessage Archive (eMA) automatically archives email messages from a variety of different email client applications. Features include:
Automatic background processing, with the folders to be archived saved in each database Archived messages are removed from your active email database after being safely put into a FileMaker database Filters for archiving only messages older than a specified date. More filters for status, priority, and others Reply to archived mail via any supported email application, regardless of its origin.
Email and newsgroup messages archived together, in the same database