Well, considering that the body of an HTML-formatted e-mail is nothing more than an HTML document, then I would say the same answers apply here as were given in response to your other thread (where the topic of XSS was discussed ad nauseam, IIRC).
However, also note that outside of the body of the e-mail (in the headers, for example), it would of course make no sense to use htmlentities() (as you're currently doing) since you shouldn't be sanitizing data for display in an HTML document (and should instead be sanitizing it for other purposes, such as to prevent header injections, unless PHPMailer already does that for you).