Archiving mail from Mail.app
If you want a folder that's accessible from within Mail, you can create a local mailbox (using "Mailbox" > "New Mailbox…") and then copy the messages you want from your iCloud mailbox across to it.

You can also use "Mailbox" > "Export Mailbox…" to export mail to a file on your hard disk - however you can't browse this from within Mail without importing it again (using "File" > "Import Mailboxes…").

I'm almost certain that Mail will be keeping iCloud messages on your hard disk in any case. OS X Mail keeps all its data in conventional (for Unix) mbox files. You can find them in:

/Users/&lt;your username&gt;/Library/Mail/V2


(Note however since OS X 10.7, the Library directory is hidden by default.)

Even if the account were to stop working, you should still be able to see all of the mail in it. It would only be removed if you were to delete the account.