If you want to be really sure you don't destroy anything accidentally, you should export your data before continuing. Sticking it in an Outlook PST will mean you retain all metadata and will allow easy import again should anything break (or you could use this to actually archive your stuff in to a seperate location).
With that suggestion out of the way, I think it depends on the type of account.
If you're looking at an Exchange or IMAP account that leaves everything on the serevr then nothing should be deleted - but you won't have access to them without the account setup.
If it's POP3 then Outlook is probably storing them in a local PST folder and this should still retain local copies - whether or not the server has copies depends on your configuration.