Go to any message and click that wonderful "All" link (bottom right). That will display up to 50 full messages inline on one page.  The in, out and storage boxes are separate so use your browser to "~Save as web page" using the date or whatever turns your crank for names and save to your hard drive.

I believe that in the past I've mentioned this as a way to archive PMs but since I had to think for a while about how to do it tonight (and I do it once or twice a month), so I thought it may be worth mentioning again.

Also, in "PM preferences" it's possible to have all new PMs sent to your e-mail address so just because it looks like the PM you sent to someone was never read, that doesn't mean it wasn't. That person may have just read the e-mail and considered it an FYI that didn't require a reply.

[edit]This is still accurate info after the 2011 updated software.[/edit]