I don't have the actual code on-hand, but it shouldn't be too hard to
do a macro that loops through the messages, extracts the message body and
pastes it into a Word document. Not too hard for somebody familiar with
VBA programming I mean.
I've written a small C# add-on for Outlook 2003 which does just this.
prints only the body of the message, the only problem I have now is that it
prints everything as plain text.
actually all the code is on MSDN site, in two pieces.
under C# look for 1. Outlook add-on 2. printing
voila, you now have a custom button on your outlook toolbar...