If I have to, I will do (in the browser) CTRL+A, CTRL+C, and then CTRL+V into Word. The spacing gets all screwed up tho...need to adjust the margins. I only do this when a link gives me a javascript popup that I can't Save As.
But why Word? As mentioned above, Save As is your best bet. Word docs are so bulky space-wise and Word just sux in general. For multiple pages, like the threads here, use copy the title (no ? marks, etc) Save As and then paste it into the "file name" section, add a number, etc. to the end of the file name to keep the pages in order. I do this with everything now as stuff disappears off the net without warning.
Another option I hate to use is printing to PDF via something free like Virtual PDF Printer.
Good luck!
Owen