I would just try to screen-shot the screen, then going to Photos and printing it there. However, I did find this http://geekfairy.co.uk/saving-printing-imessage-conversation-on-a-mac/ I still don't think there is a way to print just the messages them self though, sorry. Hope this helps

I like PhoneView a lot. I've been using it for years. It lets you print out very nicely formatted pdfs of your messages, complete with time/date stamps for every message.

TouchCopy also gets recommended by some forum users. Unlike PhoneView, which is Mac only, TouchCopy is available for both Mack and Windows.

Glad it helped.