Hi Lars,
Ah, yes. Now I fully understand. The answer is that PM currently does not support this. If you want this, you could probably best post a request for this in the Feature Requests forum.
As I mentioned, what you can do now, is to "print" to PDF instead. If you're on a Mac OS X, this option is available for each print job so no special software is required.
Cheers,
Hayo