So what do you guys that use Opera Mail do with your EMails that you need to save?

Nothing. Just don't delete them. If you need to find a message in all of your messages, just use quick find. Also, make use of all the views that Opera already has that automatically sorts your messages.

Or, create a label named "Archive" and add messages to it. In the label's properties, set "hide these messages from other views". Then the archived messages won't show in other views as long as those views don't have "show hidden" checked.

Now, if you're talking about removing a message from an IMAP server and keeping the local copy, that's a different story. In that case, you ctrl + s to save the message. Then, you move the message to the trash and delete the messages from the trash. Then, you goto "Menu -> settings -> import and export -> import mail -> import generic mbox" and import the message you just saved. The first time you do this, you'd import into a new account and name the account "Archive" or something. After that, you'd import into the archive account instead of a new one.