I want to save a Conversation, not a Message in Teams

i have been researching the ability to save Conversations in Teams, i have found alot of sites throwing the word Conversation around, but when it comes down to it, they are talking about 1 line of message within the conversation can be saved. I don't have time to save every line of a conversation, and my company has a short 15 day saving so after that, all my awesome searchable information is GONE! Why would i not be able to save this in bulk locally or where ever i wanted to??? So many little tid bits of info in a conversation you will never find, until you need it and use the right word in the search and you have saved the world in record time.