Trapped in iPhone 4 and WhatsApp, need help to escape
You could use iTunes to create a backup of your iPhone 4. The backup will contain the data files from WhatsApp. You can use a program such as iPhoneBackupViewer to view/export your WhatsApp messages:

http://www.imactools.com/iphonebackupviewer/

Another more "down to earth" solution would be simply to use another camera phone to take pictures of each of the WhatsApp messages you would like to save.