Save message exchange in Messenger.

Is there some method to save a long exchange in messenger? A Google search gives some suggestions, none of which work for me.. but they are all several years old. Surely Apple has some way to save an important exchange. Evidently there are third party apps that will do the trick but spending ~$50->$80 CAD is not that attractive for a one time use.

The message exchange started on my iPhone but was/is also visible on my MacBook and most of the correspondence was made on my MacBook.... if, that makes any difference.

Thank you for any advice.