Here’s the post from Apple’s KB on how to import a self-signed certificate so that Mail.app doesn’t nag you any more when initially connecting:

http://docs.info.apple.com/article.html?artnum=25593

In short:

1. Click “Show certificate” when Mail asks if you want to accept the certificate.
2. Press the Option key while dragging the certificate to the desktop. The certificate’s icon appears on the desktop.
3. Add the certificate to your keychain by dragging its icon on top of Keychain Access. Tip: Keychain Access is located in the Utilities folder (Applications/Utilities).
4. When Keychain Access opens, you may be prompted to select which keychain to import to. If this happens, choose a keychain and also select X509 Anchors.

I’ve found that it’s best to click on ‘Show Keychains’ and then select ‘X509 Anchors’, then just drag the saved certificate straight from the desktop into there.

Posting this here I seem to easily forget how to do this, and as there’s a slew of badly-worded instructions returned by a Google search on how to do this posting it here will save me losing it in future.