For outgoing mail, all you need to do is install the MailPriority plugin, which will give you a toolbar and keystroke shortcut to setting the priority for your messages during composition.
To make sure that messages flagged as having a high priority are distinguished in your in box, I suggest creating a new Mail.app Rule. When you pull up the Rules dialogue, first click on "Add Rule". Then click-hold on the "From" in the first condition line. You'll see an option to "Edit Header List." Select this, and add a new header named X-Priority. Then, create a rule that looks like this:
If ANY of the following conditions are met:
X-Priority Contains High
X-Priority Contains 1
X-Priority Contains 2
Perform the following actions:
Set Color of text [to red, or whatever you like]
Click "OK" and you should be all set. Now you can be urgent with the best of them!

