Single is built in and bulk needs an add-on, so the two halves of your need have two clean answers:

Single, native: with a message open or selected, File, Print or Ctrl+P and in the print dialog choose Save to PDF or a Microsoft Print to PDF style destination rather than a physical printer. The message prints with its header block, sender, date, subject, giving the PDF its provenance. One message, one PDF, entirely built in.

Bulk, the ImportExportTools NG add-on: install it, then right click a folder and its options include exporting all messages, with an export as PDF choice that writes every message in the folder to its own PDF in a chosen directory or a single combined file per its settings. This is the bulk answer Thunderbird lacks natively, a whole folder to PDFs in one operation, named per message so the output folder sorts sensibly.

The attachment caveat, same as every mail to PDF: printing captures the message body and attachment names, never attachment contents, which the same add-on extracts separately through its export attachments operation, the pairing kept together in a records folder. And for the bulk case worth a test first, run one folder through before committing a large mailbox, confirming the naming and format suit your records system, the single folder that validates before thousands of messages.

The choice between them: native print to PDF for the occasional single message filed by hand, the add-on for any recurring bulk records need, and the add-on genuinely worth installing the first time bulk comes up since it also covers the export and extraction tasks this forum's other Thunderbird threads lean on.