I read somewhere on the Apple forums about this tip.

I wanted to configure my mail account from scratch, in Mavericks, sync the remote e-mails by IMAP and then import the local e-mails.

So, to get my old local `On My Mac > Archive` folder I

1. Quit Mail.app
2. Copied `Archive.mbox` from a backup to `~/Library/Mail/V2/Mailboxes`
3. Deleted from `~/Library/Mail/V2/MailData` the following items
    - Envelope Index
    - Envelope Index-shm
    - Envelope Index-wal
4. Relaunched Mail.app and proceed with the importing wizard
5. Renamed the newly imported folder to `Archive` (until renamed the e-mails show up as blank)

Here, `Archive` is just my example `mbox`, substitute with yours.