Sure, you can copy (recommended) or even move your PST files to any device you want to put it on. I would strongly recommend an external hard drive. The reason for this is that if you need to access the archive later on, you don't really want to have to keep putting in a CD or DVD to access it.
Now, my questions are….
Where are you archives currently stored? Are they on a server drive or are they stored locally on your desktop computer?
The reason I am asking is that normally administrators will not “put pressure” on users to remove older emails if they are not stored directly in Exchange or the archives are not stored on a server drive. I.e. they are trying to free up either space or prevent Exchange boxes from getting too large.
You may also want to check with your admins to see if it is okay to copy the archives. If your archives are stored on a server drive, you may want to ask the admins if it is okay to setup auto-archiving to go to your local PC or to your external hard disk drive instead of the server drive. Of course, then you would be responsible for backing up and securing the archives and not the admins.
Thanks!
Shane