What do you mean by "save them all in one go to transfer them"? Transfer them to what?
I meant save them all in one go to a file of which I also want all the messages in the 'conversation' to be in chronological order.
Under tradional email systems, one would just File-Save the last message or at the worst, select the latest message then type Ctrl-A to select the whole 'conversation' and copy-paste the 'conversation' to say notepad and it would appear in chronological order.