You just set up a mail box (not a Smart Mailbox in this case) for (name of club for example) in Mail, *then* set up a rule that all mail from (club address) gets moved (not copied, moved!) to (club mailbox), an example of which is presented below:
View attachment 21464
The key to this is that "move" command, and that you are moving it (not copying it) to a mailbox stored on your Mac rather than on the server. Don't make a corresponding folder on the server, that will just result in duplicate effort.
When the rule is executed on each mail run, any corresponding message is then REMOVED from your IMAP server (iCloud or whatever you're using), and MOVED to your locally-stored (club) mailbox. Obviously, it then falls on you to protect those locally-stored emails by backing them up using Time Machine or whatever, as there is no longer any copy of them on your IMAP provider's server.