Saving a complete NG Thread - a note

I know you can drag entire thread into a local folder in your client
(WinMail), instead of saving each article individually (as a file "save
as").

However that places them in a system-managed folder under User's AppData,
where WinMail maintains a message store - emails, newsgroups articles, etc.
rather than a normal "save as" into a folder you choose, like a regular
file. As most people I let client e.g. WinMail or OutlookExpress to
maintain ALL emails - from critically important to junk - just backup that
MessageStore folder once in a few weeks (or months!). It used to be more
sophisticated with Database style of OutlookExpress (*.dbx), but still OK in
WinMail which stores messages individually as there were rumors OE databases
frequently got corrupted (not in my case, ever, so I preferred OE
single-file database convenience!)

But I still wonder:
Is there's a way to just save a Newsgroup thread as a regular single file in
a regular fodler in WinExplorer, and not first drag multiple articles into a
Local Folder within WinMail, and then findign that deeply hidden folder and
manually moving stuff out to where you want it.
Email is one thing, but Newsgroups threads people often save as solutions to
technical or whatever problems, or duscussions - for historical reasons,
sort of a reference if problems occurs again in the future. I don't want to
create a special Local Folder in WinMail just for that and break it away
from the storage where I keep all technical/Windows tips stuff; too many
folders in Winmail already.
because then I need to move from WInMail local folder to whereever needed,
everytime...

Too much writing here, but you get the point?
There's got to be a way to click and 'save as" ENTIRE THREAD, and not a
specific message. Maybe it can be done in future Mail client, maybe as HTML
concantenated/single giant file constructed from multiple articles under the
same thread/subject?

Probably found something close!

Select all articles of interest - yes there's a manual step of selecting
involved, instead of a single click as in Thunderbird.
Right-click on selection-->"combine & decode".

Problem is almost solved, EXCEPT there're no breaks between articles in such
single file - often impossible to see when one article ends and who's
talking next (sometimes people even change the subject of an ongoing
discussion, that also gets lost), their ID or where it begins....
So if breaks between articles can be more obvious, this "Combine & Decode"
achieves what we wanted....