If pacbell (Yahoo) provides the service, they might be able to auto-respond to let the sender know, but I don't think any of the services will do that for you.
You can keep the account alive for a while and create a rule in Mail to auto-respond to the sender to inform them of your change.
A HUGE problem with that is if one of your replies goes to someone who also has an auto-reply. You get in a big loop responding to one-another.
A better way would be just to send out an email to all of your contacts letting them know of the change.
Also, if you get emails from lists or companies, they usually are sent out with a dummy return address, so that response would go nowhere. You need to manage those manually and update your email with those companies on their website.
If you delete the account, Mail will delete all of the emails. You can export them into another location prior to deleting the account, which is what I do, or you can keep the account, but disable it checking and receiving mail (don't do this till you let your auto-respond rule run for a while).
Disabling it keeps the account and all its mail, but it hides them, so moving them to a new mailbox is better if you want to reference them.
At the bottom of the Mailbox list, click the Add ( + ) button and choose New Mailbox…
It will create a new folder in the Mailbox list and you can drag your emails from the inbox into that folder. If you already are moving emails into separate mailboxes, those will not be deleted when you delete the account.
I would also export my email to a safe location just in case anything happens you don't like. Just select the mailbox, then choose Export Mailbox… from the Mailbox menu. It will dump them into a folder in mbox format which you can import back into Mail if you need to.
There are quite a few others here who know Mail better than I, so maybe they'll chime in with some advice.