Managing mail space with Mailboxes/Archives on your Mac
For archiving and/or storing of larger files that you do not want access to via the web (taking up space on the server to your .Mac email/idisk/homepage allotment) and your iPhone, you can store mail locally on your Mac.
First, know that when you go into your inbox on your iPhone it shows the first 25 messages and that you must go to the next set, which requires accessing the server. So no, mail isn't actually stored on the phone I don't think so much as accessing the server. I don't know if you have access to that group of 25 mails when both Wi-Fi and EDGE are out of range as I have not used the iPhone out of EDGE range.
To archive old mail, go to Mail on the Mac and with the drawer open to the side showing Inbox, Drafts, Sents, Trash, Junk, and subfolders and then right click on Inbox and select New Mailbox (or from the Mailbox menu). When the pop-down window appears, change the selection from the .Mac account to On My Mac and give the mailbox a name, i.e. Archive, Backup, or whatever. Your list of subfolders in the drawer will now disappear momentarily as your .Mac account appears as globe icon with a carrot next to it. Open the carrot to reveal the subfolders. Your Archive or Backup folder will appear above the globe icon. If you right click on that icon and select New Mailbox, you can now make subfolders to the archive folder.
If you want to backup all your mail to the archive, create an identical subfolder structure and then select all mail items one subfolder at a time and copy them to the corresponding Archive subfolder.
If you want to remove most, or certain subfolders worth of mail from the server but have access to them on the Mac, create those subfolders, highlight all or some of the mail and drag them to the corresponding folder. You can store all your old mail this way and keep only recent mail in each subfolder for web and iPhone access.
Lastly, if you just want to reduce the mail web server storage size, all you need to do is move the mail items with the largest attachments to your Archive subfolders.