For current versions, the approach I've seen customers use is to create a business operation using the HL7 or XML outbound file adapter. In Message Viewer you can then "resend" the messages you want to the new business operation.
I'm happy to say that we've added a way to download multiple messages directly from Message Viewer. This hasn't been released yet but will be soon. For more details on this and other upcoming features, have a look at this presentation.
This won't help you in the short term, but upcoming versions will include a nice feature to export messages from the message search page. For more details, have a look at this presentation from this year's InterSystems Global Summit.