The Zombie Stack Exchanges That Just Won't Die
It used to be do-able with DownThemAll (back before Facebook went all crazy on Ajax). Now it's impossible.
InquilineKea
ArchiveFacebook is a Firefox plugin that was developed by the Old Dominion University Web Science and Digital Libraries Research Group. While I think it doesn't archive groups yet, the sense I get is that it could be adapted to do so.
Facebook offers an "archive" function from Settings > Account Settings > Download a Copy of Your Facebook Data. I've never started a group on Facebook. Perhaps if it is a group you started it is available for download?