You can export them, but they'll be in a self contained file and if you delete them out of mail, you'll not have instant access.
Another option is to create a mailbox (mailbox>New mailbox), you can specify the location and then move your emails to that. So they won't reside on your internal drive but still be accessible.
To be safe, before doing any work on your emails, make sure you have an up to date backup of your system.
So you can basically archive them messages, via export, or you can specify a new mailbox on your external drive and then move folders/emails to that location and off your internal drive.