How to save a thread as a Player?
GM's get everything (private lines etc), whereas players might all see slightly different versions of threads - which may or may not be behind the reasoning not to have the option available for players, but it could affect the code behind the scenes, as it can render directly from the database for the GM. Also GMs might not want players to be able to download the threads as they might want to simulate character ability to remember stuff, rather than player ability to read. Though yes, I understand where you're coming from when the character has a far better memory than the player.
I use a Firefox Add-on to save webpages to PDF - just search on Print to PDF or Save as PDF under the Add-ons manager.
Once you install that, then you just click on all to show all threads then run your Add-on of choice (mine sits under the File menu) et voila ! :>
There's bound to be something similar for IE, Chrome etc.