There is possibly a better way but this seems to work.
You need to get them into Outlook Express and then Export them to Outlook
(via File | Export in OE).
I've got an eml file into OE by opening it and then using File | Copy to
folder.
Note that when you export the messages are exported to the Outlook folder
with the same name as the folder you copied the eml file to.
So, if you copy it to Drafts it ends up in Outlook Drafts and then needs to
be copied to your Inbox (or wherever).
I'd create a new folder in OE (say, "old mail") and export that and keep
them there.