Mark,
Ended up being pretty easy really. In Mac Mail, I had a long list of mail folders along the left menu bar of the program.
If you scroll down to the bottom, there is an iCloud menu title. I just 'dragged' the folders down into the iCloud heading and it 'copied' the folders and their contents there. It took me a little while as I had a large number of folders but it was well worth it as now I have access to all of my email accounts and messages with all of my iOS devices as well as my MacBook Air.
As I receive emails now that I want to file & store, I put them into the 'new' folders that are under the iCloud drop down menu in Mac Mail. When I'm trying to do the same thing on either my iPhone or iPad, the same menus are there as well.
Hope that helps. Let me know if you need any more clarification. Not sure why this process isn't more intuitive or a function Apple would have made easier but I just can't have 1000's of emails just left in an Inbox...
Cheers,
Steve