[stomachmonkey]

Touch and hold a message.

You get options pop up, select the "More" option.

Noe every individual message will have a circle next to it.

Select each message by tapping the circle.

Lower right hit the arrow and it will pop up a new message with the selected messages in it.

Tap and hold in body, select all, copy.

Now you can share to an email or open Notes on the phone and paste in.

The primary issue with that approach is you lose the distinction of who said what and timestamps which I think is less than ideal for evidence.

If you really need to keep it all threaded as a conversation with time stamps there really is no simple free way to do it.

Look for a 3rd party utility like iMazing.

Some things are worth the cost, this is one of those times.