OE is not designed for high volumes of stored messages like Outlook is.
Yes, you need to transfer messages 1 at a time.
You will then need to delete the message from the inbox or folder that it is in, and then from the deleted items folder.
Also, watch out for attachments being dropped.
OE defaults to .eml format when you save a message, so be sure to change to html for any messages with important html content.
Don't forget to clean out your sent items folder while you are at it.
I didn't save the link, but about 9 months ago, there was a question on backing up OE messages, and someone found a shareware solution that did the job.
You could also use the export option, and setup groups of saved messages in a seperate folder.
The negative of this, is that you would need to import the entire folder to retrieve a single message.
Here is a good site for any question on IE/OE
http://www.mvps.org/inetexplorer/
Chas