What you are describing is archiving. You can create all the Personal Folders you want within your Mailbox, but the Folder still resides in your Mailbox, which is part of the PO, which is on the Server.
If you create the Users Archive on another Server, that should accomplish what you need, as well as keep the email that has been archived available to the User.
If anyone else knows of another way around this, lets hear it. I would like to know also! Maybe GW6 has a feature that will accomplish the task!
Good Luck!