Open the Messages app on your iPhone
Find the conversation you want to print
Take screenshots of the messages you want to print
Save the screenshots to your Photos app
Transfer the screenshots to a computer if needed
Open the screenshots on your computer
Select Print from the file or image viewer
Choose your printer and print settings
Print the screenshots
Use AirPrint if your printer supports it
Open the conversation on a Mac and print from there if synced with Messages
Use a third-party app or software to export and print the messages if you need full conversation formatting