If you have an IMAP account the simplest way is to synchronise the folders with the server in both Apple Mail and Thunderbird. If it's a POP account you can still transfer mail via the server but the process is cumbersome and time-consuming. The article here http://kb.mozillazine.org/Import_from_Mail.app says that the Thunderbird mail import wizard now supports direct mail import from Apple Mail. I've not been able to try it myself because I don't have a Mac. If you find that it doesn't work the article outlines a process for converting Apple Mail messages to the old mbox format, which can be imported into Thunderbird.