Creating an outlook data file on your computer or local server is a good way for saving space on your web/mail server, while keeping your old emails.
Instruction follows:
From the outlook home , select New Items.
Select More Items > Outlook Data File.
Choose a proper location for the new outlook file and insert the filename of your choice.
The newly added file should appear at the left side of outlook.
If the new file not appeared automatically, then go to File -> Open & Export, select Open Outlook Data File” and choose the newly created file.