Other than right clicking and saving the page to your HD in an appropriate folder there doesn't seem to be a way to save a thread. Right clicking requires that each page be saved individually. You can rename them before saving. Thumbnails are saved, but the larger pics they reference are left behind.

The RC Scale site has a useful option. You can click on a choice to format the thread for printing. Then when you save the page the entire thread is there, no matter how many pages it covers.

Maybe RCU could introduce this option.

There are also site saving programs like Teleport.