How do I make and find copies of emails on my iMac?

You have a couple of options:

1 - You can print your emails to .pdf and file them wherever you like.

2 - You can move your emails to a mailbox that you add to the "On My Mac" list of mailboxes in the Mail side bar.

These "On My Mac" mailboxes don't rely on a connection to your mail service. They get downloaded to and reside on the Mac and get backed up by Time Machine or other backup solution. Organize them as you like.

Create or delete mailboxes in Mail on Mac - Apple Support

You can also select and save an email as a Raw Message Source file (.eml) to a location of your choosing. You can then later locate these emails by using Spotlight. When you save an email in this manner, all dates associated with it are changed to the current saved date. To prevent Spotlight from searching all of my emails in Mail, I have narrowed its search to my Desktop where I just saved that Raw Message Source content:

kind:email OR (kind:folder name:desktop)