In principle you can just drag-and-drop the folder from one account to another. I don't like to suggest that method because its outcome can be a little unpredictable. I would create the folder in the new account, (if it doesn't already exist there) select all the required messages in the old account (use ctrl+a), then use right-click and "move to" or "copy to".

If either account connects using IMAP then be patient, as the moving will also be uploading to or downloading from a server.