Something I have done is create a folder on my C drive for threads I wish to save, then click "File" and "Save Page As ..." to save the entire thread. I then give the file a title so I know what the subject is.

OH! I always view with the message format as nested.  It needs to be that or threaded, so that every reply is open.  That is critical for this to work.

You don't get any new responses unless you go back and save it again later.  But if the board goes to a new format and all the old posts go away or a board closes entirely (I've had both happen more than once) you still have a copy.