To save an entire e-mail exchange from Mail.app to a text file, select the messages you want to save. Then select File: Save As…, and save the messages as plain text or rich text wherever you want. That file will have all the selected messages ordered by date.
If you’d rather have save the messages as a PDF file, choose File: Print…, open the PDF drop-down menu and choose Save as PDF. This will save each message as a separate PDF. (You’ll probably want to create a temporary folder to hold them first.) Once Mail is done saving all those PDFs, open the first one in Preview, open the Preview sidebar for that window, and drag all the remaining PDFs from the folder to the sidebar. This will create a single PDF with all of the messages ordered by date.
If you want to save an ongoing discussion periodically, you can create a smart folder in Mail that searches for the messages you want to save. Any time you want to preserve the current state of the discussion, click on the smart folder, select the messages you want, and follow the Save As… or Save as PDF routines above.