- Right click on one of your accounts and select New Mailbox... and Enter the folder path (the intervening folders, if they don't exist, will be created). This is mentioned in the create new mailbox dialog box. This means that entering "Mail Archive" will create the folder "Mail Archive" in the root level of the selected account, whereas entering "Mail Archive/2002" will create the folder "2002" inside "Mail Archive" (created if necessary) in that account.
- Right click on the desired parent folder, select New Mailbox..., and enter in a name for the new subfolder. If you right click on "Mail Archive" and enter "2002", the folder "2002" will appear inside "Mail Archive".
Finally, although it may seem pretty obvious, you can option-drag folders to copy them and their entire contents in between mailboxes or accounts. The plus copy symbol will appear on your cursor.
[Editor's note: That last one may seem obvious, but I'd never thought to try to copy an entire folder with an Option-drag!]

