Currently Being ModeratedNov 9, 2011 2:43 AM (in response to imagicaz)
If you set up Mail.app on your Mac to receive iCloud mail over POP instead of over IMAP, your Mac will actually download the messages, instead of only reading them from the server. You can then set up Mail.app so that it doesn't automatically delete the downloaded messages from the server, so you can still read those e-mails from your other devices over IMAP. Now, if you use one of said devices (or the iCloud web interface, for that matter) to delete a message, it will still be there on your Mac. But only if you had already downloaded it there, of course.
Currently Being ModeratedNov 9, 2011 3:07 AM (in response to Harro Jansz)
I just learned that iCloud doesn't support POP anymore, only IMAP. So you're out of luck. I personally think it's completely unacceptable that POP support was dropped, but that's another story. More information in this thread.
Currently Being ModeratedNov 9, 2011 3:17 AM (in response to imagicaz)
Create local mailboxes on your Mac, and move emails to them.
Currently Being ModeratedNov 9, 2011 8:37 PM (in response to imagicaz)
Oh dear, wished i could just hit one "delete" button.... anyways, thanks guys, will definately setup a new mailbox on my mac now!