How can I move a folder to another user?

Each user has their own mailbox directory in which reside the folder files. Each Pegasus Mail folder is made up of two files, a .PMM file and a matching .PMI file. You move a Pegasus Mail folder to another user by moving that file pair from one mailbox directory to another using a file explorer. Pegasus Mail must be closed when doing this.

To find the filename of a Pegasus Mail folder right click on it and then select "Folder information".

I have thousands of emails I would like to move. If that's the only way, it's impractical.

You don't have to move each single mail. You've missunderstood it. As Brian wrote, you could move "mail folders". Such "folders" are physically one file pair at harddisk containing all mails.