Before I say anything else, I will tell you that this tool is SLOOOOOW. I’m not a super clever PHP developer, so I don't know how to multi-thread this process, so it’s going to take a while to get your report, so get a cup of coffee while it’s running.
With that out of the way, I’ve created a simple page for downloading all of your App.net messages in a nice simple CSV. Here’s a quick video of it in action.
If you’d like to download your (or anyone else’s) full message history, check out this simple App.net History Downloader.