Jen, the UBB folks confirmed for me that there is no way to download threads. Sorry, but cut and paste seems to be the option.
There is one other, depending on what you are trying to do. You can print a page to a PDF file and then edit it to take out what you don't want. Unfortunately, I cannot get a complete thread to print in most cases. I have been able to print a short thread to PDF, maybe ones that would take 2-3 pages, but not a longer thread.
Good luck. Why don't you put up some pictures to share?