If you don't care so much about appearances, the easiest way to save a long thread is to hit the "print" button in the thread options (the menu with "reply" & "add bookmark" & "notify" & "mark unread") and then save the HTML file. Unlike saving from the forum view, you get rid of all unnecessary stuff (like profile information, avatars, signatures, etc.), and all of your posts appear on one page. It's certainly not the prettiest option, but it's probably the fastest way to go about backing up your threads. If you had any images or embedded links in the posts, they show up in parentheses, so you don't lose any additional/complementary information for your roleplay.
I've actually sometimes sent these versions to my Kindle, so I can catch up on or re-read them (after picking them up in the post-hiatus stage of coming back to Elliquiy).