I'll first mention the "
Export Posts" facility, but I think this only exports your OWN posts, rather than an entire thread.
What I sometimes do (On ANY website, not just here) is to press the "print" button on my web browser. I do have a real printer which puts things onto paper, but on my windows setup I have a free piece of software called
cutePDF writer. (There are other similar software printers available).
Well, that generates a PDF, not text file, but it does at least maintain the formatting and images, which a text file cannot. I don't know whether it would be useable on your Kindle device.
If the thread you are interested in is very long, you may want to change the
number of posts per page - I'm not sure what the default is, but if you change it to a larger number (50 is the max) then there will be fewer pages to print (each page would have to be be printed to its own individual file).