Hello, my name is Dan.
I will do my best to help you, the only stupid question is the unasked one.
Doing them as a 'batch' is possible and I have outlined how below.
You can save each email to the same folder and then use Pages to insert (as a batch) into a document.
I just did it to make sure it can be done the way you are looking to do it.
It does require Pages (part of iWorks
Under the drop down menu for Insert select at the bottom 'Choose', navigate to the folder that has the saved email and select the first one, press and hold the Shift key then select the last one, click Insert.
This will select all from the first to the last, or use the Command key to select each in turn.
You can repeat this as many times as you like or you can do it in one fell swoop.
I have a folder named 'Email worth saving', it has text, photos, chat transcripts and other stuff. I followed my own instructions to make sure.
It will take some editing to make it the way you want then you can use the print to save as PDF.
Select Print from File and in the corner choose PDF, like this.
It will not print it but it will save it as a PDF which can be printed from Pages or Preview.
Hope that answers your question.