Behavior for dragging multiple mail items in OSX is different than dragging single.
As some users have commented, there just isn't an implementation in the Apple Mail application to do this, for some reason. An alternative is to make a new mailbox in Mail (Menu -> Mailbox -> New), copying/moving the emails over there and right clicking on the mailbox, choosing Export. This will make a mbox-file with the emails that can be opened with most email applications.

You can also mark all the emails you want to save, choose Save As from the File menu, and save them. This will save them as a single rtf-file.

It's strange that Apple hasn't implemented this, they definitely should. I looked into an Automator-solution as well, but the mail-actions are very limited, unfortunately.