Option 1–
Open the iMessage Convo that you want to print on your MacBook... scroll up on the conversation as far back as you’d like it to print... then go to File > Print.
OR
sometimes iMessages in iCloud can screw up this process,
so if that ^ doesn’t work, you’ll have to do a more lengthy process, but one that *works* no doubt.....
Option 2–
do a Spotlight Search with the phone number that your iMessage Convo is with...
type it as just numbers, no hyphens (i.e. 5556667777 vs 555-666-7777....if you are in the USA, you could type 1555666777, too)
Now your Finder will have a List off all your Convos w/ that phone number... I like to Sort by Date Created, to make sure everything is in proper order.... open each Date/Convo one by one and go to File > Print.
Pro Tip:
Save your new Convo-Doc as a .PDF first, before actually Printing...
sometimes the print layout cuts off some of the message(s), so you’ll want to adjust the % to make sure whatever it is you’re trying to capture makes it on the printed version...