Apple - Print e-mail conversation in Mail.app
I have a work around for you that works and is a bit quicker than copying to pages.
What you do is: 1. Highlight the emails that you want to print. Either the whole thread or selecting particular emails by holding the apple key and selecting the mails.
Click the 'forward' button. This compiles all the emails into on big email
Print! and you are done.
In Mail.app on OS X 10.9, Mavericks, this is default behavior when only the conversation is selected in the inbox.