Actually I did find a way to do this. While tedious and laborious it works like a champ.
Step 1. In Apple Mail, for every folder you want to save in Opera, you highlight that folder, then right click and choose "Archive Mailbox" then save it to your desktop or whatever. Rename that desktop folder to whatever you want to import as. Repeat this for each mail folder you want to migrate.
Step 2. Go to Opera and select File->Import and Export->Import Mail. From the next dialog, choose Import generic mbox file and click Next.
Then click the "Add Folder" button and select a folder from the exported mail you selected in step 1. Repeat the add folder and selection for the folders you are importing. For "import into" you can either choose a "new account" (in which case it will attach the messages to an already existing account you have) or you can choose "new account" which will attach them to "localhost". If you do import most than once, be sure to select the right account each time. If you select new account every time it will just create another account and you won't be able to change it.
That's it. As I said, it's laborious, but its the only way I could find to do this without using some third party program.
Cheers,
Kork