Open the chat you want to save, put the cursor in the chat, press menu and click save. This will save that entire threaded chat in your saved messages folder. I don't think you can save multiple chats from a bunch of people.
Posted from my CrackBerry at wapforums.crackberry.com
I use a program called SMS Backups that sends every message I send or receive to my email account. I then have filters set up so all emails go to a folder for each person I text. If you text a lot remember to set up a filter for your Blackberry otherwise every text you send or receive will also come through in your email when the phone pulls it from the email server.