How do I set up subfolders in a mac mailbox (mail 4.6)

Try dragging the folder you want as a subfolder into the golder you want as the main folder. A triangle will appear to the left of the main folder, if you click the triangle it will open the mailbox and your sub folder will be there, as well as all the main folder messagaes. Hope this helps.

POP accounts don't have folders. You can create any mailboxes you want "On My Mac", but they won't exist on the server.

I can do this on my Mac, or on my Yahoo account which are IMAP accounts. I don't know if you can do it on G Mail as I don't use it. Give it a try, all that should happen is te folder just pops back to where it was. On both Mac and ISP my mailboxes are shown as folders, although they are mailboxes, if you go into the library they are ALL refered to as mailboxes, and behave as mailboxes, in that all the messages are still .elmx.

That's the difference between POP and IMAP. IMAP has a hierarchy of mailboxes on the server that is synchronized among all the computers that access the account. POP doesn't have mailboxes. New messages arrive; clients download the messages. POP is not intended to store messages long term. Messages are not sorted into mailboxes on the server at all.

You can influence when messages are deleted from the server in Preferences > Accounts > Advanced. If you are reading the mail on more than one device, typically you would set this on all devices to something like "delete one week after retrieving the message" so that each device has a chance to get the message before it is deleted. POP servers are not intended for long-term storage, and there might be space or time limitations imposed by the service provider.