There are two problems here - first is accessing embedded message attachments without saving them first as MSG file. Second is importing the MSG files back - you can use Application.CreateItemFromTemplate, but the item will be unsent. You can use Namespace.OpenSharedItem, and then use MailItem.Move, but it is still a kludge.
There issn't much much you can do in OOM alone. Extended MAPI would work, but it is C++ or Delphi only. If using Redemption is an option (I am its author), you can use EmbeddeedMsg property exposed by the Redemption RDOAttachment object. You can also use RDOMail.CopyTo and pass a folder as a parameter to copy an embedded message attachment to a folder:
Set Session = CreateObject("Redemption.RDOSession")
Session.MAPIOBJECT = Application.Session.MAPIOBJECT
set redItem = Session.GetMessageFromId(OutlookMessage.EntryID)
set redFolder = Session.GetFolderFromId(OutlookFolder.EntryID)
for each attach in redItem.Attachments
if attach.Type = olEmbeddeditem Then
attach.EmbeddedMsg.CopyTo OutlookFolder
End If
next