For anyone that is lurking, I solved my issue. I wrote a plugin that allows you to export to a html file, or just show it on screen. It basically outputs all pages using minimal CSS (just H1/H2/H3) into an HTML file, or to the screen (or emails the file to you).
Another way, which I have also used, is to create a simple template that outputs the posts to the screen, again with minimal CSS, and no header/footer/sidebars. Images are placed in a table (for easier adjusting in Word). When I output the entire blog to screen (no pagination), then I do a Save As HTML in my browser. I open that in Word, save it as a DOCX, and then massage the DOCX into a format to be printed (I use Lulu to print the book).
All works well. A lot of editing required to make the printed copy look good, but the big part of exporting the WP posts is done with the process.