This seems like a question to be put to the staff preparing the migration. You're not the only one in the firm, I suppose, with such a wish, so it should be taken care of collectively. Or at least treated in the introductory courses you'll surely get.
In fact, if your firm uses Exchange Server as a place to store emails, contact lists and calendars, a centralised conversion is surely the best.
There are two things that you can do yourself:
1. Save the messages on your own hard disk or somewhere on a server you've got access to.
2. Save the messages in a personal folder.
http://www.logdev.com/LogDev/KBase/KBase-Clients/KB990613.htm gives some hints for these tasks. I can't tell you, however, if Groupwise will be able to import either the individual messages from Windows or the contents of a personal Outlook Folder.
A few other hits from google:
http://www.advansyscorp.com/fps/pom/personal_outlook_migration.pdf (a program you have to buy)
http://www.transend.com/ConnectorWare/ (also a program)
There being so much software to do it, leads me to think it's not an easy standard feature.
Attachments, of course, can be saved from Outlook wherever you want, and read there later on.
Hope this helps.
I have to lose Outlook because the firms e mail application is Groupwise, can I save / export received and sent emails and attachments for later retrieval