That feature already exists. :-D
These instructions might not exactly match what you see since you could be using a different theme for the site, but I think I'm using the default theme. Look at the top left for this bar....
HOME ... HELP ... SEARCH ... PROFILE ...
MY MESSAGES ... CALENDAR ... MEMBERS ... LOGOUT
> Click on "MY MESSAGES"
Then on the left side, near the bottom of that column, look for...
Preferences
- Manage Labels
- Manage Rules
- Change Settings
> Click "Change Settings"
There are a variety of options on that page. The ones you're looking for are in the middle (vertically).
Once you've made your changes, look at the bottom right for the
[Change Settings] button. Click that and enjoy your new message notifications!