To change to IMAP, you do need to delete the current POP3 account, then add the mail account again. By default, new mailboxes are now added as IMAP.
As for the question of saving your current emails. One option is to archive them, just to make sure you have a copy of them.
Archive emails in Mail on Mac - Apple Support
Normally when you do add the new IMAP account, all of your emails that are stored on the mail providers server will be redownloaded. How many that are saved there are dependent on your mail provider, which is why it was recommended to contact them. Since the mail server that they use is different between a POP3 and IMAP account, the results do vary by the provider.
To be absolutely safe, make sure you have a full system backup in case you do want to revert your system to the previous state.