I actually have code written for exporting PMs into an mbox file compatible with Thunderbird, but I haven't gotten around yet to figuring out how best to present this functionality to users. (It's unusual because it takes a bit of time to generate and the resulting file should maybe be encrypted.)
If any established members have a strong need for it, I can manually create an export for you. For example, if you have so many PMs that the PM page is slow to load for you, you can get a PM export from me and then use the "purge PMs" feature. I'll probably only do this one time per person...
I've done something similar before (grab PM, parse, write to mbox), but it was annoying to correctly parse quotes etc so I didn't finish it.
I also had installed SMF once to take a look, and it did not seem too complex to add a few lines of PHP so it would dump the content of the PM array as XML when adding eg &export=xml to the url.
As a huge bonus you could take an additional step and sign each exported message with a public bitcointalk key so that it can be proven that they are unaltered.
