I used a slightly awkward workaround. I had set a rule on each email account to copy all mail to an "archive to phone" gmail account, and added that gmail account to modest on my phone. Then from modest I used the "move message" option to move each message to a folder on the memory card. You can also select the phone memory.

If only there was a "copy message" command as well as move, I wouldn't have needed the intermediate archiving gmail account.

Edit: Thanks a lot matthew_exon, I can now delete my intermediate gmail account!