I'd like to add other mail message as an attachment to a new one but Mail (On OSX Lion) does not allow me to do that.
Repeat steps 2 through 4 for as many messages as you want to attach.
This might help in your case:
I believe what you're looking to do is "forward" an email...
What I did was , composed a new email , went back to my inbox and dragged and dropped the required emails into my composed email .
I think it worked