Q: How do I set a spam filter up on the Mac Mail App?

See if this helps

iCloud: Keeping the Junk folder consistent between iCloud Mail and OS X Mail - Apple Support

Realistically, in 2014, you cannot manage spam using the spam filters built into any email client software (including Mac Mail).  You can try all you want but it will make no difference.

What you need to do is to choose an email provider that does a good job at filtering out spam at their server, prior to it reaching you.  The best in the business is certainly Google's gmail.  If you are not willing to abandon you existing email account due to ever increasing spam, then you could establish a Gmail account and then forward your existing account through the new Gmail account.

There are also very efficient client side spam filter software.

Check out SpamSieve  http://c-command.com/spamsieve/