I got an email yesterday asking for this same thing, and my mind reverted back to the past. I noticed I've been receiving such emails a lot of times and I always replied personally to these emails. Here I will take the time out to turn my reply into a public post.
Here's the excerpt from the email that refers to the question of backing up Mac Mail to Pst –
Answer – The best way I've found to backup Mac Mail to Pst is to use “Mail Extractor Pro”. It is a very simple, light, easy to use, and highly efficient tool for converting everything in your Apple Mail to Pst format. The best thing about is that you will not lose any content or part of it when converting. Because if you go with any other methods that I have tried in past, you may end up with incomplete migration with data integrity issues.
“Mail Extractor Pro” doesn't let it happen. All of your attachments, images, folder structure, email properties, and every tiniest details with the data can be converted and kept as a backup on Pst files.
Furthermore, it is a very simple looking tool that is extremely light but works very fast. Its GUI is user-friendly and you don't need to know anything about how it works. As soon as you will look into it, you will know everything that's need to be done. You don't even need to export your Apple Mail data into Mbox, as with most of the other tools. “Mail Extractor Pro” can directly load up your “Mail” folder that contains everything and convert it to Pst straightway.
You can download the free trial version here that's limited with its number of items (ten) it converts to Pst from each folder inside Mac Mail. But the features and everything else is not restricted or locked. So you can properly evaluate it before paying for its full unrestricted license.