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?

I don't believe that is an option.

If I select "mark conversation read" will it no longer be counted as one of my limited 15 allowed conversation?

Not read. This is what happens when you leave a conversation. If you just mark it read its still counted as one of the 15