Unlike in common Chat / Messenger Services, there is no option to save your chat history in Facebook Chat. The only option to save all the conversation that you been done in FB chat is by doing it manually such as copy paste the messages / chat text conversation into text editor such as wordpad or note pad or any kind of them. We can’t just click an option in FB chat such as like in Yahoo Messenger that has Message Archive that would store any conversation with our friend in the past in History Archive features (including username, date, time, etc).
We hope that facebook engineer would create the option of this to make it able to save all the chat conversation in fb chat: even just store it in local hard drive storage (it would be great if in the future the chat archive can be store online, just like we can save our status message in facebook: web base fb chat history archive).
We googling about this though, and find a little information about this that you might be wanna try. It a software that claimed can restore you chat history in facebook but in not free, you have to buy it or use in only in trial version. More information about this software? click here.
Alternatively, you can use facebook chat desktop client (third party) to make a chat in facebook and save all the message chat history of yours. It including multi protocol client (XMPP / Jabber) such as pidgin or ichat (for mac apple users), or single fb chat desktop client such as chit chat.