For the brave:
(0) Close Mail if it's running.
(1) Go to to your Library folder (~/Library, not the main system Library).
(2) Archive the Mail folder. Move Mail.zip somewhere safe.
(3) Copy ~/Library/Preferences/com.apple.mail.plist to somewhere safe as well.
(4) Open ~/Library/Preferences/com.apple.mail.plist (it'll open in Property List Editor).
(5) Change all occurrences of ~/Library/Mail (anything that starts with that) to wherever you're going to move your Mail folder (like "/Volumes/External\ HD/NewMailLocation") and save.
(6) Move your Mail folder to that location you specified.
(7) Start up Mail again.
If it doesn't work, unzip the Mail.zip file back into ~/Library and copy back the previous com.apple.mail.plist file (copy, not move, so you'll still have a backup, just in case).