In cases where you only have a couple of emails from Thunderbird to convert, you may choose to open each email message and convert it through print-to-PDF command, if any. In cases where you have more emails, you may opt for exporting your emails to the supported format like MBOX and then converting them. You may consider using software like Kernel Email to PDF Converter that works with MBOX files and allows you to pick out emails to be converted into PDF files. Add your exported mailbox, choose the required emails, choose the PDF format and set up the available attachment options.
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