Here's what I learned this morning.... I think it's right....Admin correct me if there's a better way.
You can set up a few more 'folders' in your inbox...like an email site does.
Click on Notifications/Inbox then look at the left side under My Messages. Click EditFolders. Add new named folders. I made one for MISC2SAVE
Now to move PMs.
Back to Notifications/Inbox. Put a check in the PM you want to move. click Selected Messages. Check Move to Folder. Click Proceed. Pick folder (use arrow if necessary). Click Move Item. TaDa!
I believe we can only have 500 PMs total. After you save the ones you want to save, you can delete the rest in a couple of clicks.
Go to Notifications/Inbox. Scroll down towards the middle Folder Controls area. Click Empty Folder. It'll ask you again if you really want to delete all. Click Yes, if you want to delete all.
Hope this is right, easiest way and works for you.