Archiving mail in Mac OS X Mail is quite simple. First, select the mail items you wish to archive. Individual folders will not work for this process, mail within folders must be selected. Then, select Message -> Archive (as shown).
Archives should be stored locally. They tend to get corrupted when you access them from a network folder. However, your local workstation/laptop isn't being backed up. So, you should backup the archive to secondary media, like a network folder or USB key, in case of a hard drive crash.