Not only is it possible, it's incredibly easy. Just drag the mailbox (or mailboxes) that you'd like to copy from the Mail window to the destination location in a Finder window, and Mail will export the entire contents of the mailbox(es) that you have selected.
I'm not sure if you can drag them back in or not. I didn't want to risk my functional Mail installation, so I'll experiment with that piece of it this week on the iBook! If not, it should be possible to simply place it in the correct location to have it visible again in the Mail program. I'll post a follow-up comment after I do some experimenting!

