How to change the Mail “Archive” folder for email accounts in El Capitan
Under OS X El Capitan (tested with Mail 9.2), you can set it directly within the Mail application:


Select your new archive folder.
From the menu, choose Mailbox > Use This Mailbox As > Archive Mailbox


In German, it is Postfach > Dieses Postfach verwenden als > Postfach "Archiv".

Edit: Apparently at Apple they realized, that the menu location in El Capitan wasn't ideal and so they changed it again.

Under macOS Sierra (tested with Mail 10.1), you can still set it directly within the Mail application:


From the menu, choose Mail > Preferences > Accounts > Select your account on the left > Mailbox Behavior


In German, it is Mail > Einstellungen > Accounts > Links den betreffenden Account auswählen > Postfach-Verhalten.