If by Files, you mean the actual emails, this will work. If you mean attachments, then just click on the save button and they go to wherever you want them to. Saving emails does NOT reduce the HD space taken up by the Mail program. Whatever your reasons for wanting to save mail outside of the Mail program, there is a really easy way.
Open the Mail program. Create a new mailbox by going to the Mailbox menu, on the menubar, and select New Mailbox. The default place will be "on my mac" and you will need to supply a name for it. Once created, it will appear in the folder list on the right hand side of the page. Put all the emails you want to save, into the folder. Just drag and drop. Now here's the easy part. Once you have them all in there, open the folder, select them all and go to File - Save As, Choose Plain Text as the type, select a folder to save to, or create one, and hit save. All the emails go into that folder as one long email. Conversely, you could save them one at a time and end up with multiple files in that folder.

Hope this will do the trick for you

P