It really depends on what your aim is. You could always copy and paste your conversations in a word document, however I haven't noticed any limits on the number of messages you can have at one time. If you want to have a smaller number of messages in your inbox you can always "leave the conversation". This will just remove the message from you inbox. If you do this you may want to copy the messages in a word document if you think you may want to refer back to them at some point.