How Do I back up mail on my MacBook Pro after deleting it on my MacBook Air?

Hello everyone!

Recently I deleted some emails from my MacBook Air not realising that they would be deleted on my MacBook Pro. When I realised what was going on I turned off the wifi on my Air and continued deleting. Basically I scrubbed just about everything in order to free up space on my Air for my iPhoto collection

Now I want to back up my mail folders and their contents on my MacBook Pro so I don't lose them.

Any suggestions? I had thought about duplicating the Folders on my mac in iCloud. When I select all and then go to the new iClould folder and paste it is very slow.

Does anyone have any other suggestions? Now that I have learned (the hard way!) that when I deleted the mail messages from my MacBook Air I was removing them from the server I am VERY worried. I am afraid that when I reconnect my Air to the Internet it will delete all of my MacBook Air mail folders and emails.

I do have the Time Capsule and spoke to Apple Care here in Sydney about it yesterday. They told me my mail is not backed up there unless I create a special folder. I just tried ringing them again but Apple Care is closed today...

Thanks in advance for any help! If I should redirect this question to a more appropriate community please advise!

Becky