I don't know of an elegant way. I do know a clunky way. Export the emails. Import the emails into Entourage and use Entourage Email Archive X (EEAX) to extract them as individual RTF files.
The other way is to export each message individually from Mail:
Open the message you want to export.
Choose File > Save As, and enter a name for the file.
Choose a location for the file from the Where pop-up menu.
Choose a format from the pop-up menu.
If you choose Rich Text Format, the text formatting of the message will be visible.
If you choose Plain Text, the colors, fonts, and other formatting will be lost.
If you choose Raw Message Source, the full delivery headers will be visible. If the message has attachments, you'll only see the encoded version of the attached files.