Theres already an option to do so
Select the message
Then scroll down to the bottom and select:

"Download as text" and hit go
soft2050 Reviewed by soft2050 on . [Suggestion] Export Private Messages Hey KWWH Team, I myself like to keep a copy of everything I do so I can go back over things if needed for any reason. Because users are limited to the amount of PMs they're allowed to store I thought it would be a good idea to have some kind of export option so users can clear their messages but still have a local copy for their records etc. Rating: 5