How can I delete Mail.app's cached e-mails that are saved to disk in OS X Lion?
Go to Mail -> Preferences -> Accounts


Choose the mail account  
Choose the advanced tab  
Change the status of "Keep Copies of message for offline viewing" to "Don't keep..."


Apples's documentation does not say what happens when you change the status, but goes on to state:


  It’s recommended to use the default selection (“All messages and their attachments”) so you can search entire messages. Additionally, keeping copies of messages on your computer improves junk mail filtering and includes the messages in Time Machine backups.