It's fairly straightforward, although slow and tedious if you have to do a lot of them at once, because each page of the PM thread must be copied and pasted before moving on to the next page.

If all you want to do is preserve the text, simply use the cursor to highlight from the PM subject line (just under the Participants tab) to the bottom of the last reply on that page of the PM and copy it (Ctrl-C on Windows and Command-C on Mac), then paste it into a text program, such as Notepad, WordPad, TextEdit, etc. and save it. That is how I preserved my PMs, since it requires the least space on my hard drive.

If you want to preserve the look and formatting of the page, with all the colors and images, just highlight the portion of the PM you want to save and copy it into something like Microsoft Word. It will look just like the PM, but the files will be considerably larger (20 times the size of a simple text file is typical, but it depends upon how many images are in the PM).

There are also ways to save the HTML or the Web page through the browser, but those methods copy more than just the PM thread.

If you want to be really organized, you can make a folder called something like Saved PMs and make a subfolder in that folder for each person or type of PM.