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.
This is how I do it:
1. Down load attachment file from email
2. Open attachment in TextEdit
3. Look to the bottom of the text file and find URL (e.g. "http://www.wimp.com/tinyspaces/" on a recent email.
4. Copy URL to browser address line and press RETURN
5. View on browser page and download from there, if you're interested (I use "RealPlayer Downloader")
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