How to copy all messages of a conversation in one folder? For archiving purposes, I would like to copy/move all messages of a conversation in one folder, including sent messages and messages stored in different folders. I tried several things, like "Cmd+A" while one message of a conversation is selected, but nothing seems to work. Is there a way to do that?

The idea is the following: I use an IMAP account an whenever a project is finished, I move the corresponding folder on the server to an archive, e.g., from ./Mail to ./MailArchive. At the moment, all mails are included except the mails I sent. To get a complete archive, the sent mails should be in there as well.
The answer above about selecting all the messages in a conversation is good, but it forgets that you specified that the messages are not all in the same folder. What you need to do is create a smart folder first to get all the messages into a "virtual" folder, then select them. The smart folder could use a condition such as a specific word or string in the subjects of the emails, or you could simply grab all your emails (Sender contains @, for example), then use the Command-Shift-K shortcut to select the conversation, if they all come up as a single conversation.