Check the box(es) on the right and then select Save in the menu box at the bottom of the list of messages (Selected Messages: which has a drop-down menu). One has an option to Save as text, which is at the bottom of the list. There are different formats available. Or one can create a new box (I don't remember the capacity) and transfer messages there.
There is a also an option to delete messages, but be careful, AFAIK, once deleted it's gone.