Use Email Archiver to create an archive of all your emails, or just a few folders.

Its simple. Launch the application and press the start button to create an organized folder of PDFs, one for each email. Email Archiver works with Apple’s Mail, storing your emails as PDFs. It makes them compatible anywhere you can open up a PDF, not just with Mail. Emails are stored hierarchically in the same way that your email is organized in Mail.app. Email archiver makes no changes to your Mail Folders. It simply scans through your thousands of email messages, creating a PDF for each one. It installs no special software, nor does it require Mail.app to be running.

Requirements:
OS X 10.11+
64-bit Intel

Also available is:
Version 2.8.1 for OS X 10.7 See Author's Site for more information.