The comment "click the edit button, copy the source into a tex file, add you favorite preamble" is a slight oversimplification. Consider bold and italic fonts, quotes and spoilers, links and images, strikethrough and colors, bulleted and numbered lists, HTML entities (accented letters, etc), underscores and ampersands in text, and the fact that MathJax tolerates some things that LaTeX will not (e.g., $$ \begin{align} ... \end{align}$$
).
But here is Save as LaTeX, anyway. Paste in the URL of any question (here or on another MathJax-enabled SE site, e.g., MathOverflow) and enjoy the result. Answers are ordered by votes. Inclusion of comments is optional. Images are converted into hyperlinks; you'd have to save them separately anyway.
Warning: this stuff is just something I made to learn regular expressions; it's still a work in progress. Please report bugs in comments. Yes, it parses HTML with regex... Sample output (taken from the script and ran through LaTeX compiler):