[Original Article: Save Mail’s email threads as one large PDF • comment by: earthsaver]
I haven’t tested this in earlier versions of OS X. In Mavericks (10.9), I can select a series of messages and printing to PDF results in a single file with separate pages for each message.—
– Ben Rosenthal
MacBook Pro 2.8GHz | Mavericks
iPad 3 4G | iOS 7
iPhone 5 | iOS 7 …

Source: Mac OSX Hints