I'm trying to understand how AppleScript works in Apple's OS X Mail
application. Assume I have a mailbox called "Friends" inside "On My
Mac". I want to be able to select n messages, and then have the script
move the messages to the mailbox "Friends"

I have no immediate answer, but if you download the OS X Developers
Tools, you'll get a large collection of sample Applescripts, including
a set of "Mail Scripts".  None of them speak directly to your question
of moving a set of selected messages from one folder to another, but
they should give you some clues about how to program the object and
command terminology for Mail.

Best of luck,
Jim Miller