I have a question regarding WhatsApp. Is there a possibility to save WhatsApp conversations/history?
I guess you mean back up the conversation somehwere when you want to reinstall your device or something?
this is not possible. all app data is stored in an isolated storage that can not be backupped and will be deleted when you uninstall an app.
There is a homebrew solution but I wouldn't advice to use it: you can use a isolated storage explorer and download files from there. Putting the file back on a different device or another time could break the app though.
As far as I understand there only appears to be a limited amount of storage, as to not fill your memory with conversation over time. I've did found a work-around though, but don't know if it is available on the WP7 WhatsApp client; it basically tells you to e-mail the conversation using the Settings.
I would suggest you to try looking into any Settings menus (use the
... on the app bar at the bottom to reveal more options) and/or hold down your finger on a conversation to see if a menu pops up. The option should be there if the client would be very similar to those on other mobile platforms...