Continuous export of email

On my windows version of outlook, i could export to a pst.  I would export my entire email (inbox, sent, deleted...) by doing this and i would not create duplicates by selecting this choice.  Therefore, my back up file would increase in size the more i added to it but it would maintain the one file.  How can i accomplish this on the mac version of outlook.  It seems i would i have to drag each email off the server now to the corresponding folder  on "on my computer".  Before, with a few key strokes, i added the most current emails i wanted off the server to the pst file that already contained my previous export(s).  Sorry if confusing.  Please help.