How do I set up an All Mail mailbox?

The Mail app already makes this "feature" available.

After you have set up your individual email accounts in the app, you'll find that they are listed under the heading of "Inbox".

If you click any individual email box, then the contents of that box will be displayed in a list.

If you click the "Inbox" heading, all of the mail held in the individual email account inboxes will be listed out.

So, no need for a dedicated "All Mail mailbox".

An All Mail Mailbox pulls all the inboxes into one group mailbox on Mac OS X Mail for all the accounts viewed. Anything outside of the Inbox is grouped separately.