Mail - How can I set up a mailbox on an external drive?

I am using a 13 inch MacBook Pro for work, running OS X Yosemite (ver. 10.10.3). I have a 4TB external drive attached, a portion of which I use for Time Machine and the rest is available for storage. I use the mail application to handle all of my email accounts. I currently store my email messages in mailboxes on my server. However, we have limits on our work Exchange server. I have a limited amount of storage on my MacBook Pro and a lot of email with a lot of large attachments. I suspect that I will quickly fill my MacBook Pro storage. So, I would like to create a mailbox on my external drive to which I will store these larger messages. Can someone tell me if this is possible and if so how to do it?