Archiving Apple Mail to an External Drive
Start by creating a new mailbox for the messages you intend on storing externally, be sure to name it something sensible so the it is easy to sort through when these mailboxes begin to pile up (ex. "Archive 2010 Jan-Jun). After you have filled said mailbox, perform a secondary click (right click) on the mailbox and select export mailbox. This will open a finder window asking for a destination. The exported file will be in the .mbox format. If you wish to view these messages again you will need to import them back into the mail app, keep this in mind when preparing your archive mailbox, try keep each one under 1-2 GB in size. 

These instructions are provided you are running Mavericks mail with the sidebar enabled.

Hope this helps!