I use Symbolic Links. This can be done from the command line or else fram a contextual item in Finder
One program that adds this contextual item can downloaded from here Follow the instructions in the download in order to install it.
First of all copy your mail to the external location. You'll need to copy both the Mail and Mail Downloads folders which are located in ~/Library If you cannot get to that folder, in the Finder, click on the Go menu, and then Go to Folder. Then type ~/Library and hit Enter to open the folder and copy the folders. Once you have copied the folders, verify that the Mail Application is completely closed. Delete the Mail and Mail Downloads folders from the ~/Library folder. Now right click on the Mail and Mail Downloads folders in your external drive, Select Services, and then make Symbolic Links for them. Move the Symbolic Links you just created (they look like aliased folders) into ~/Library. Now rename them to be Mail and Mail Downloads. That's it!
It's important to note that if you try running the Mail Application without your external drive, you'll need to repeat all this, because without the external drive, the Mail Application will try to recreate empty Mail and Mail Downloads folders, and it may also reset your accounts in Mail.
I can confirm that this is working with 10.8.3