Back-Up of emails in their separate folders

How can I back-up my mail into individual folders that coorespond to the Gmail labels I have? For instance, if I have the following gmail labels; "Smith Transaction", "Johison Transaction" and "Jones Transaction." Each email regarding the Smith Transaction gets a "Smith Transaction" label, and so on.

When I use Gmail Back-up, I just a big clump of emails and I have to "hand sort" them into the appropriate files that I have created.

If I save them into Outlook, the same thing happens.

Any thoughts?