Drag multiple mail messages to Finder

I am trying to save all of my email messages related to a project to that project's Documents folder in Finder. When I highlight all (several hundred) messages and drag/drop to Finder, only one message is actually copied. What is the trick to dragging multiple messages out of Mail.app? (Judging by a few other old posts, this seems to have been an issue for some time (Lion-ish), but I can't believe its not possible.)