Most if not all Private Messages are valuable to me. I dreaded downloading them all so I figured I'd use the save private messages feature, I didn't think it would work because other such things just didn't help me that much. It was always a chore to locate important notes in the jumbled up mess that downloads.
Much to my surprise the downloads of the private messages are easily sorted and read.
So if you have almost reached your limit of Private Messages, use the little download buttons at the bottom of the page and the will all save in a couple of seconds.