When I'm in conversation window and click File -> Save, it offers me RTF, Unicode or normal text formats. But no HTML. Those other formats don't save emoticons.

Plus! seems to be able to save conversations in HTML format, but it won't do anything before you turn logging on from the menu. It would be handy to save also the messages which were sent before logging was turned on.

I don't want to always log my conversations, but sometimes I feel it's good to save them.

Is there any way to do this?

I don't think so, but you can always turn logging on for all conversations and even specify wich contacts do you want to keep logs.
Logs don't take that much space and if you're worried with other people you can protect them with password.
In Preferences -> Conversations -> Chat Logging
Sorry if this wasn't exactly what you were expecting.