Wouldn't be nice if you could save a Gmail conversation so you can read it offline? Using an email client to access Gmail using POP3 or IMAP is an option, although it's not trivial to recreate the thread and to download everything, including the attachments.
If you want to save all the attachments from a conversation as an archive, you could save them one by one. Alternatively, go back to the conversation and click on "forward all". You'll create a new message that concatenates all the messages and the attachments from that conversation. Send the message to yourself and click on "Download all attachments" when you receive the message. To save space, delete the individual message you've sent to yourself after downloading the attachments (make sure you don't delete the entire conversation).