From Mac OS X Hints user royhinckley:
"The too-obvious solution: select a group of emails (no need to expand threads), say, all of February, and choose Save As. At the bottom of the Save As window, set the Format pop-up to Rich Text. Mail will then save the selected messages (expanding threads as necessary) to a single RTF file, including images, audio attachments, etc."
By saving your messages as a single text document, you can then delete those messages from Mail. That should allow Mail to perform better and you still have all that content in a format that is easily viewed and able to be searched. Do you have any other solutions for archiving your Mail messages? Let us know in the comments.