Import emails into Mail?

I have just got a new MacBook Pro with Lion. How do I get my emails from my old MacBook Pro running 10.3.9, into Mail on my new mac? It would be great if the emails could stay in the same mailboxes (folders) that I've sorted them into over the years.

I've done a search on the Apple support, but it said I needed to export the mailboxes in order to inport them. But in Mail 10.3.9 there doesn't appear to be the option to export mailboxes, only individual emails...

Thanks for any help