I’ve gotten into a habit of periodically reducing the number of emails I keep on the server with my IMAP addresses because, unfortunately, I don’t have a huge amount of space with them.
This is a relatively simple task. You create a local email folder (in the “On My Mac” section) and drag all your messages there. This will create a .mbox file (a very standard format) in ~/Library/Mail/Mailboxes.
Take those files and back them up to a stable medium like CDs and you’re done. It’s quick and easy. Entourage does have the advantage of allowing you to drag straight from its windows to somewhere in the Finder, but I find this one extra step insignificant.