There's no denying it, Whatsapp I one of the greatest applications available to any mobile phone user who doesn't have an unlimited texting plan (or your friends don't have one). Whatsapp has allowed people all over the world to text each other in near real time, on the go, for close to free (I've been using whatsapp for over 5 years now, and have yet to be asked to pay my $1 activation fee- which I would pay in a heartbeat).
With more and more getting mobile data plans Whatsapp has become even more useful, but unfortunately one major set back has been the inability to backup your messages or transfer them to another phone.
In the latest release for Whatsapp for Windows Phone this has been slightly rectified with the option to "email chat history" being added. Although this isn't the optimal solution but emailing the chat history to yourself and archiving does serve as a temporary solution until something more elegant arrives.
In my testing I was able to email my preview 541 messages with a single contact to myself (anything before those was deleted when I reset my phone).
The Chat history sent to your email (or your friends) is listed in a default time stamp chat history, that unfortunately doesn't support transferred media/images. But for now I'm thankful for even this.