There is no "print" option from within Skype for Business (Lync), however you can do one of the following:
1) If you are saving conversations, you could print the saved conversation from Conversation History folder in Outlook.
Or while in the conversation
- Copy and paste into a document or email.
- From the menu button in upper left, choose File - then choose Save or Save As and save as a .txt or .rtf file or Choose Save as Email
- Then Print.