Using a good third-party conversion tool is the best way to convert Thunderbird emails to PST. In my opinion, a dedicated WholeClear Thunderbird to PST Converter works a lot better than doing it by hand, since those ways take a long time and can go wrong easily.
A good tool will easily convert Thunderbird emails to PST file without losing folders, attachments, or email formatting. It also does large conversion and works well with Windows. All you have to do is pick the Thunderbird profile, pick PST as the output format, and begin the change.