you can create folders in mail. Click the plus arrow on the bottom left, and they dont call them folders, they call them mailboxes. So create a new mailbox with the location on my mac, and you can choose the name of the mailbox (which even looks like a folder), and then drag and drop emails in there.
As for the formatting, disk utility is definitely the place to be, but im unsure as to which format is most compatible. Also consider if you are going to be using the HDD for just your macs or windows and macs.