If you’re in Europe it’s very easy. A GDPR request is supposed to give you everything you want (and don’t want) from your account. Chats, comments, posts, … everything.

If you’re not in europe… phew. I don’t know. But i’m sure there’s a script on GitHub. Can’t search GitHub right now, it’s blocked in the office network :( (for good reason…)

https://support.reddithelp.com/hc/en-us/articles/360043048352-How-do-I-request-a-copy-of-my-Reddit-data-and-information-

EDIT: I found this rexport - it’s updated recently and worked for a friend.