Compress attachments in received emails
Within mail? No. You'd have to create a filing system outside mail and drag your attachments into that.
If you do that I recommend dragging the email into that too, otherwise later you'll lose the context. Also, that makes it easier to search for what you're looking for.

Remember: file with easy retrieval in mind. Assume you won't be sure exactly what you need, when you filed/received it, who sent it and where you filed it. In other words, try to lose all context that gives the file any meaning now and build that meaning and context into the filing system. If you can figure out what would make it easy for you to find that file in those circumstances, you're off to a good start.