Note 1: If the file doesn't already exist, emacs will ask you if you want to create it. Type yes followed by another carriage return.
Note 2: Some people configure their emacs to automatically delete messages when output to another file. If you are still looking at the message you just output to a file, you should now type d, which will mark this message as deleted from your RMAIL file and move on to the next message. (Most people need this d.)
M-x rmail-input <CR> filename <CR>All the usual RMAIL type commands will work in this buffer.