DNS change will indeed sens all domain related traffic to Dreamhost, this includes email traffic in addition to http (web).
If you are using go daddy email you'll definitely want to make sure the transition takes that into mind. If you don't have many mailboxes with godaddy you may as well move them all over to dreamhost (duplicate the mailbox names/forwarders over here before you make the dns change over there).
If you have more mailboxes/forwarders over there than is handy for you to move and you wanna consider leaving them there, I'd get in touch with support to see if they can suggest a way of doing this that won't cause you to lose mail. I've messed with mail/mx records once, 4 or 5 years ago, so I'm not one to advise anything reagrding that mess.