To save all mails individually in the Finder, use a little trickery:

In Mail, select all messages you want and right-click + choose Forward as Attachment. This creates a new e-mail which you then send to yourself.

When the e-mail has arrived, bring it to the front and press Cmd-A to select all attachments in the e-mail. Click the Save button and choose Save All… from the drop-down menu, then select or create a folder in the file dialog.

The e-mails will be saved as individual .eml files, which you can quickview in the Finder or view in Mail or Thunderbird.

To save all mails individually in the Finder, use a little trickery:

In Mail, select all messages you want and right-click + choose Forward as Attachment. This creates a new e-mail which you then send to yourself.

When the e-mail has arrived, bring it to the front and press Cmd-A to select all attachments in the e-mail. Click the Save button and choose Save All… from the drop-down menu, then select or create a folder in the file dialog.

The e-mails will be saved as individual .eml files, which you can quickview in the Finder or open in Mail or Thunderbird.

The downside is that the files are saved with the subject line as file name. So there is no date or sender to organize the files in the Finder. You'd have to pre-organize in Mail.