How to copy all messages of a conversation in one folder?
The answer above about selecting all the messages in a conversation is good, but it forgets that you specified that the messages are not all in the same folder. What you need to do is create a smart folder first to get all the messages into a "virtual" folder, then select them. The smart folder could use a condition such as a specific word or string in the subjects of the emails, or you could simply grab all your emails (Sender contains @, for example), then use the Command-Shift-K shortcut to select the conversation, if they all come up as a single conversation.