Know of an app that lets you transfer a text message conversation into an email?
In the stock Android messaging app, you can hold your finger on a message for a few moments and then select the "Copy Message Text" option, then paste it into any app you'd like.

That would work fine for individual messages, as far as entire threads go, that I'm not sure.  I'd probably go the geeky route personally and open up the .db file that contains all the text messages with an sqlite3 binary and manually peruse the database, copying what I need out of it.