Forte Agent for example allows saving usenet postings, in a format which you can customize to some extent. I keep my usenet archives that way (don't like relying on google).
Now, it isn't free, but just short of a year or two, they (Forte) used to have a free version of Agent as well (called, oddly enough, Free Agent). I think you can still find it on some of those "old versions" sites.
Or just download a trial version (30 days) of the real thing, download & save from the groups you're interested in, and get rid of it (or buy it?) ... either way ...
But, feature to save usenet messages is really not that hard to find amongst dedicated news readers.