There is no real "feature" that lets you do this, but you can get around it. What you need to do is go to your Mail preferences and click on the Accounts tab. Click the plus (+) button at the bottom. Fill out the account name and email address and password. When you get to the next screen, fill everything out normally, but instead of putting the actual server address in the "Incoming Mail Server" field, just put a random word (i.e. "blah"). Hit continue. Mail will try to contact your non-existent server and after a while will give a little error letting you know that you might not be able to connect. Click continue. From there, fill out all the outgoing server information normally and you should end up with an account that you can send emails from but won't check your email. You will probably get errors since Mail will continue to try to check your email, but you can disable the regular schedule under the General tab in Mail preferences.
On a related note, this is not the way you should use Mail if you want to add additional send-only accounts if you actually have an account that receives mail. In that case, you can go to your Accounts preferences and simply add additional email addresses to the email address field and separate them by commas.
I hope this helps!
-Nik