From CIT Wiki
How to create and use Local Folders in Mac Mail
Creating Local Folders
- Hold down the key and left click on the mailbox panel.
- Choose 'New Mailbox' from the list of options, a nmew window pops up.
- Change Location to 'On My Mac'.
- Give the mailbox a name and click OK. Your local mailbox has now been created.
Using Local Folders
- Moving emails to local folders.
- Highlight the messages you want to move.
- Drag those messages to the local folder and drop them into it. This will copy the messages to the folder and delete them from the original folder.