If you only need a few emails, you can open the PST file in Outlook and drag individual messages to your desktop to convert PST to MSG  files. However, this isn't practical for large PST files containing hundreds or thousands of emails.

For bulk extraction, I used Advik PST Converter. It allows you to load a PST file and export all emails directly to MSG format in one go. The software preserves attachments, sender/recipient details, timestamps, and folder structure during the conversion process. It also works with large PST files and saves a lot of time compared to manual methods.

Here i would like to suggest manual way for those user who want to move few emails from PST to MSG. But it is also required MS Outlook installed on your system.
If you don't have Outlook or have a large or multiple PST or corrupted one then manual method is not working for you. MailsDaddy PST file converter tool is the best solution to transfer single or multiple PST file to MSG , EML, MBOX, PDF, HTML, MHTML and RTF file format at once. The software keeps all folders, headers, inline images, attachments, etc. during the whole conversion process. The free demo version of the software moves up to 20 emails from each folder.

To extract PST emails into MSG files, you need to open the PST file and export the required emails in MSG format using a suitable conversion method. Outlook provides manual saving for a few emails, but it is difficult to extract multiple PST emails one by one.

A reliable offline utility such as GainTools PST to MSG Converter can help export selected or entire PST email data into MSG format while keeping attachments, email headers, formatting and folder structure intact.

This tool is a simple way to save Outlook PST emails as individual MSG files, without needing Outlook. Hope this is helpful.