Evernote's Web Clipper extension is great for saving anything you want from the web. As Finer Things in Tech points out, it can also save entire message threads from Gmail.
When you're looking at a thread in Gmail, just hit the Web Clipper button, and you're given an option to select which messages in the thread you want to save to Evernote, as well as any organisation options you need. That will generate the clip and give you a link back to the Gmail thread from Evernote.
The Evernote Web Clipper can now clip Gmail threads [Finer Things in Tech]