Move each of the directories in /path/to/folders/* to another directory whose name is constituted by appending .mbox to each directory name and create a directory named Messages in this directory then move all *.emlx files into this directory
find /path/to/folders/* -type d  -exec mv {} {}.mbox \; -exec mkdir {}.mbox/Messages \; -exec sh -c "mv {}.mbox/*.emlx {}.mbox/Messages" \;