One way might be to select one message in the conversation, right-click, Open Message in Conversation, to see all the incoming and sent messages in a tab, then Ctrl+A to select all, then Ctrl+S to save them as eml files. eml files can be read or imported by most email programs. There are add-ons to give extra options, such as saving as text files or a single text file.

Thanks. I assume that different conversations from the same correspondent would have to be saved separately, correct?

Yes, a conversation with a different Subject would exist in a separate thread - as long as a correspondent doesn't break it by changing headers. This article explains TB's threading logic.

Of course, if you could count on every correspondent quoting the entire received message in their replies (not recommended), the conversation would already be displayed in a single message.