Fred, I think you can if you know which PM you want. I just did a search of PM's to and from you to me and when I opened the first one up.....I just clicked on "file message" and put it in a folder.
I just go back to the message via a key word, cut and paste it and send it to myself with a header describing what it is, then I can file it where I want and by the headline tell what the heck I've saved.