I don't have a direct answer for you, although I will be watching this thread with interest.
The applicable web standard (as far as I know) is called S/MIME. I do not know if <cfmail> has direct support for this: I see no obvious evidence that it does.
I expect that you'll need to branch out into the marvelous outer-world of Java (and you might have to install those objects onto your server) in order to do it. Which CF does enable you to do...
Another possibility (he said, idly pondering...) might be to use SSL to send the mail to an outbound mail-server which knows how to wrap the message up as S/MIME before sending it out to the world at large. I do know of companies who do this in order to blanket-encrypt all of the traffic that is going to certain destinations, i.e. their subsidiaries and business partners.