The easiest way is to use a local e-mail client and then copy all mail you wish to save to a local mail folder.
- At your local folders (lokala mappar) right click and create a New Folder...
- Fill in the name of the folder.
- Go back to the mail you want to copy and mark them all.
- Right-click and Copy To and then navigate to your new folder.
- Let Thunderbird copy all.