Make sure you are forwarding messages inline by opening Tools --> Options, then clicking on the "Composition" icon, then the "General" tab. Be sure that the drop-down list next to "Forward messages" is set to "Inline" and the "add extension to file name" check box is checked. Click "OK."
Select all the messages you'd like to forward. If they're grouped together, click the first one, hold down your "Shift" key, and click the last one. They should all be highlighted.
If they are not grouped together, and cannot be sorted to group together, select the first one, hold down your "Ctrl" key and select the others one by one.
Right-click on the highlighted messages and select "Forward as Attachments" at the top of the list.