Without wishing to tempt fate, I think this has worked. In summary:
(1) I moved all the mails in Hotmail folders into the Hotmail inbox (only)
(2) My Mail account on my MacBook Pro is set up for both my Mail/iCloud account and my Hotmail account. Hence, the inbox displays all the mails from both inboxes.
(3) I then filed the mails from the Hotmail account into my Mail/iClould folders (or Mailboxes, as I think they are called).
(4) To be on the safe side, I did a test of deleting a mail from the Hotmail inbox that had been filed in a Mail/iCloud folder/mailbox and it was still visible in Mail/iCloud.
(5) After 24 hours, I deleted all the mails from the Hotmail account
(6) So far, all those mails are still accessible from my Mail/iCloud account.
Thanks for the help of all.