I think Option 1 is the easiest as you can create your own folders to put DBX files in and then just point the Outlook Express store locate to the relevant folder.
Option 2, Switch Identities, is basically doing the same thing, but creating the folders for you.
Option 3,
http://www.fookes.com/mailbag/, is a program that is independant of Outlook Express. Give this a try first.