I'm having the exact same issue, there does seem to be some suggestions out there but it looks like those solutions no longer work in OS 10.6.4 using Mail 4.3.
Have tried creating dummy folders in the User>Library>Mail>(Mailbox) folder, copying over the messages in many different ways but none seem to work.
Any help would be greatly received!
You need to COPY the entire INBOX.imapmbox to your desktop. Use the copy so as not to damage your source folder.
Once it has been copied to your desktop, change the name from INBOX.imapmbox to INBOX.mbox (remove the imap from the name).
Once this is done, go to mail > preferences > import. Choose import from apple mail and select the INBOX.mbox folder from your desktop and import.
The folder will then appear in an import folder in your mail app. Move the emails back into whatever folder you want from your mobileme account.
This worked for me and hopefully will work for you.
Can't tell you how relieved I was to finally find the correct solution - aphilips is a genius! It took me half a day but grateful that these forums still show archived posts - thank you so much.
My problem arose from changing hosts. Fortunately, I backed up the archive folder (from User/Preferences/Mail) to my desktop first. As so many others have found, simply choosing the folder and selecting either of the options (Import Apple Mail or import mbox files) doesn't work if your original account is/was IMAP. Follow aphilips instructions and it does (by creating 'import' folders - for inbox, sent, etc, under 'On My Mac). All I did after that was open each folder to 'select all' emails and then 'copy/paste' into the respective new account folders (with the new host, in my case) - and everything is back as it should be.
Edit: FWIW, I'm using OSX Snow Leopard 10.6.8 on an Intel Core 2 Duo Macbook.
Message was edited by: Dreamzguy