I have a lot of emails and so I make archives for every year. When I move emails from 2004 to the acutal archive, it's important, that I don't file them into the "archive2003" folder instead. So, I locked this mailbox in the Finder. The directory of the Mail.app's Mailboxes is /Users -> Library -> Mail -> Mailboxes. I used Xray, an application that allows you to lock every file AND folder (because the .mbox files are packages).
Now, when I accidentally drag emails into this closed archive, I get an error message in Mail.app, as seen at right.
[robg adds: When I tested this, I locked the folder using the Finder's Get Info dialog box; I just changed my permissions (in the Permissions section) to "Read only," and it worked as described. If you are going to archive old emails, you might also want to remove the archives from the Mail directory entirely -- burn them to a CD or store them on another disk. That way, they'll be accessible when you need them, but they won't be taking space on your boot drive.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=2004031607151749