When MSG files are in large numbers, manual saving is not a good option. It takes time and some attachments can easily be missed.
The simple way is to keep all MSG files in one folder first. If there are only a few emails. open them in Outlook and save the attachments manually. But for a full folder a bulk method is better.
I used WholeClear MSG Attachment Remover for this kind of work. It can add MSG files or an MSG folder and save the attachments to a selected local folder. It also gives options to pick attachment types like PDF, DOC, Excel, ZIP, PNG and others. Duplicate attachments can also be skipped by file name and size.
Keep a backup of the original MSG files before extraction. That is safer for bulk work.