You can select the Archive folder in Mail, and do Mailbox > Use This Mailbox For > Trash. Also make sure to set your iCloud's account Preferences > Account > iCloud > Mailbox Behaviors > Move deleted messages to the Trash mailbox, Store deleted messages on the server, and set Permanently erase deleted messages to Never.
Then deleting the message will actually move it to the Archive folder. As long as you don't manually delete that folder you should be OK.
I usually still grab that stuff and move it to a local folder every few months as a permanent archive.