bk - As for your new mailbox set-up...
1) It's always good to check your "Saved" folder from time to time just to make sure your emails are being saved to/on your computer. I'm guessing you were walked through setting up a "rule" to automatically save your emails to your computer after reading them - instead of them just being saved on the server. -I usually have to manually drap and drop the emails to my Saved folder.
2) Not that you're "off" of AOL, it's probably easiest to keep your .aol email address instead of eventually "migrating" over to gmail.
3) There is one trick you can utilize to "transfer" some of the contents of your Filing Cabinet over to your (Mac)Mail-box. You launch AOL, then go into your Filing Cabinet. Select a block of messages, then select "Keep As New". They will then appear in your "new" mailbox too. Then just navigate to those messages to save them to your new mailbox - and while you're at it, you go through each message and then select "Add Contact to Address Book". -Of course, this will only the name and email address, not any other contact info you may have added to the AOL Address Book.