I've tried searching for a good solution, but it seems the only way is to actually download the individual .html files for each thread or use some screen-scraping method (which doesn't work so well).
Is there a way to download all the messages from a Google Group?
You could try out HTTrack
Full description from their website:
HTTrack is a free (GPL, libre/free software) and easy-to-use offline browser utility.
It allows you to download a World Wide Web site from the Internet to a local directory, building recursively all directories, getting HTML, images, and other files from the server to your computer. HTTrack arranges the original site's relative link-structure. Simply open a page of the "mirrored" website in your browser, and you can browse the site from link to link, as if you were viewing it online. HTTrack can also update an existing mirrored site, and resume interrupted downloads. HTTrack is fully configurable, and has an integrated help system.
It is available as WinHTTrack for Windows 2000/XP/Vista/7 and available as WebHTTrack for Linux/Unix/BSD
