PM procedure?

When you select "Leave conversation", a pop up come up to confirm if you want to proceed, and that pop up displays the following warning, "Leaving a conversation will remove it from your conversation list." This is why I ask if this means the conversation is permanently deleted and disappears.

If this is the case, my following question is, how do do we back up our conversations if we want to save them before deleting them from the forum (Selecting Leave conversation). The prior software format, used to allow us to save our PM's by exporting them in either txt or csv format.

So my question is, how do we export/backup our conversations in this new software interface?