I have used "on my Mac" folders for years but how do you make a "local mail folder" on an iOS device like the OP is using?
I don't think you can. With the main mail view open, tap Edit in the upper right. That lets you toggle the view of mailboxes and arrange them. At the bottom you can tap "New Mailbox" but you have to select an IMAP account to create it in. That's where I would expect a "LOCAL" option to be.
On the mac, you can select New Mailbox from the menu, and have "On My Mac" as an option. That's for making a local folder.
