Export-Mailbox command is really simple, and great for this kind of one-mailbox-at-a-time backup method. We use it all the time before deleting accounts. It has a variety of commands, and even allows you to export-to-pst whole folders if you want to be granular. By default is just exports the entire mailbox to PST.
Export-Mailbox -Identity JoeCEO -PSTFolderPath E:\MBackups\JoeCEO.PST
Alternately, you can back these up to another mail-store completely. It doesn't get it out of Exchange, but it does sequester the data in a spot you have more control over.
Export-Mailbox -Identity JoeCEO -TargetMailbox BackupStore1 -TargetFolder JoeCEO
Unlike the PST method, this can be done directly on the Exchange server.