Like elpelso I did a slightly similar thing.
Firstly, locate the Mail folder in Library. This one is invisible, so use Finder's 'Go to Folder...' and search for ~/Library. In there you will find Mail. I took out RSS and the MailBoxes folders and placed them on the desktop. Start up you Mail program now. It should import fine.
The import the old ones using the option Mail, rather than mbox in the choices. They come in under Import in your sidebar, the just move them to To My Mac. Done.. Trash the old folder on teh desktop.
Man, why do they have to make it this hard to get it to work. But it looks good though..
...read all your helpful posts but quit not sure with the step "copy all over" what do you mean with all?
My little project in terms of mail is, I get a new MBP with Lion and my old MBP is still on 10.6. since I cannot upgrade OS beforehand to 10.7 due to old HW.
While I am reading your solutions quit not sure if I copy the whole ~/Library/Mail folder over to my new MBP and start then Mail -> will Mail then import my mails ?
Will this be way to Rome ?
Thxs in advance