I've search a lot about this and I found a pretty simple way, no mail conversion.
I got the OS X 10.6.7 version (maybe won't work on older version).
Just doubleclick on the .eml file, it will open in a new window via Mail. While open, menu Message - Move to - select the Mailbox. That's it.
If you do it via shortcuts it goes fast... it could take a while if you got undreds of mails, but it works and it is simple. No need to buy a software.
Hope this helps!