It is really straightforward to create local mailboxes in Mac Mail. You may want to do this to archive messages to your computer, or to create a backup.

First, in mac mail click the + icon in the bottom left of the screen

Now, choose New Mailbox

Then on the popup, choose On My Mac from the drop down

Then enter the mailbox name, and click OK

The mailbox will now appear on the left hand side of your mac mail pane.