How can I save/print SMS conversations the way they are displayed in MSB?

MSB normally exports as text for your use in other programs such as spreadsheets, but can export SMS conversations as HTML:

Versions before 3.0: Option– or ALTclick on the Export button.

Version 3.0 and greater: you are always prompted for your choice.

The conversation will then be displayed in a window in your default web browser; you can then Save As or print/save as a PDF. Your web browser may also allow selecting a different type size, if you wish.