My friend, Tim, has recently "seen the light" about using IMAP mail services to sync between multiple accounts. (If this sounds like greek to you, watch my E-mail Sorcery screencast, episode 15 right here.)
Having successfully set up his IMAP mail accounts, he now wants to add several folders to also synchronize through IMAP. I thought his question was worthy of a short tutorial so here goes:
1. Create the Folder
In Apple Mail, Go to the Mailbox menu item and click "New Mailbox"
2. Make it IMAP
Next a dialogue will show up asking what type of mailbox you want. Click on the selection arrow.
The click will open a list of your current accounts. You want to select the root level of your IMAP account. In the example, I am doing this on my MobileMe IMAP account. This is where mistakes are made. If you create the mailbox "On My Mac" or within an old POP account, it won't synchronize.
Then you simply give it a name and you are done. It should show up in both Apple Mail and your other linked IMAP devices, such as your iPhone.