Yes, it is possible.
You could set the Save original e-mail to Yes in the E-Mail Message section of Incoming E-Mail Settings.
But the attachments will still save to the same document library.
To be honest, I do not think SharePoint is a good place to store mails as you have Exchange / Outlook deployed.
I suggest you to post in Exchange forums to get some advices on how to manage large mailbox.
Hope the information can be helpful.
-lambert
Lambert Qin | Microsoft Online Support Engineer
Posting is provided "AS IS" with no warranties, and confers no rights.