1. Click the menu button for Settings.
2. Under "Added Accounts," select the account that's at issue. General preferences will not have the needed option.
3. On the window that appears, "Incoming Settings" is second from the bottom.
4. "Delete e-mail from the server" is at the bottom of the next window with an options list that includes "never."
As far as I can remember, it has been the same on my phone through the upgrades.
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