I would suggest adding the Exchange account and remove the POP account, as you said. The POP account will have all the mail downloaded to a .pst file (typically located in C:\Documents and Settings\*username*\Local Settings\Application Data\Microsoft\Outlook) which you can then just use as an 'Archive Folder' in Outlook along with the Exchange account (which will be a .ost file if you use Cached Exchange Mode).
The benefit of doing it this way will be that when the user scrolls thru their old mail in the Archive Folders (from the POP account) and they reply to an email there, it will be sent from the Exchange account.