I assume when you say thread you mean all the posts from a thread...
run this query: (assuming the thread you want all the posts from has an id of 1, change the '1' to suit your needs)
SELECT message FROM xf_post WHERE thread_id = '1'
on the results click 'check all' then next to it click the export button
check the custom bubble and then go down to format and select word 2000 (it's the only format of word exporting it supports and I don't know of any other way to go directly to word.), there is a bunch of other formats as well if that helps.
You can output to pdf and there is pdf to word convertors out there though I have never tried the routine.
What are you doing with the docs that you are worried about formatting specifically?
An old member of the boards lost his fight with cancer this week. His parents are from Finland and they want to history of his dealing with the disease in a file format. Apparently he was quite the shut-in and we were his support group. So formatting is important because the people taht will be using it aren't computer people in the least and it'll need to be as legible as possible.