all you need to do is save your .pst file
Here’s a little more detail. Your default mail file is already saved in a *.PST file somewhere. You can access that by looking at the data files for your current profile/account. You can save that file as something else (copy, paste, and rename).
The preferred method I have always used is creating a new *.PST file, naming it something I will remember, and then EXPORTING all of the stuff I want to keep. Should you need to reference it, you can import that *.PST into 2010 and browse…when you’re done, simply close the folder.
Hope this helps!