Just to clarify, Smart Folders are in the Finder and Smart Mailboxes are in the Mail program, but they are based on the same idea. They list items matching criteria and it is just a list, in that the items still live in all their original locations. This makes it easy to create a smart mailbox that is a live saved search across multiple mail folders or multiple mail accounts.
I have Smart Mailboxes for all messages with attachments, all flagged messages, all unread messages, all messages from a specific company, etc. anything that is important to me for housekeeping.
For example, when I make a Smart Mailbox for "all messages where the sender contains ____.com" that generates a list of all messages from that company, so I can grab them across all mailboxes and in a single drag, drop them into a regular mail folder where they are permanently archived. So while generating the Smart Mailbox message list is virtual and does not change the original messages, actions you do to the messages in the Smart Mailbox do affect the messages themselves.