PM procedure?

So if you "Leave" a conversation it is "removed" from your conversation list. I assume this means it is permanently deleted and disappears, if so, how do I back it up before deleting it? With the prior software, I used to use the export as txt or csv option, where or how can I now back up my conversations before deleting (Leaving) them? If I select "mark conversation read" will it no longer be counted as one of my limited 15 allowed conversation?