For pro-email users and organization aficionados, Mail.app's archiving abilities leave just a tad to be desired. There are of course a few 3rd party options for archiving and/or exporting messages from Mail.app, and Tim Gaden's excellent Plug-ins and add-ons list at Hawk Wings is a great resource to track down a solution that works for you. Fortunately, in his never-ending quest to find all things Mail.app, Tim found yet another solution in the form of an AppleScript called MailArchiveByDate written by Doug Hellmann. As its name suggests, this script will archive selected messages into a mailbox structure based on year and month the message was sent. You'll get a structure like so:
Altogether, this is one powerful (and relatively cheap, considering Mail Act-On is donationware) system for archiving Mail.app messages while at the same time keeping them accessible right inside of Mail.