Works for me!
I found this page and it worked fine for me.
http://www.hongkiat.com/blog/facebook-chat-macosx/
I'd recommend turning off most of the notification sounds from within Messages though as I found it kept making door noises and such when people were logging in and out of Facebook.
Once setup you will need to open up the buddies box to see who is on line and to initiate a chat. Otherwise you can't see them.
Not only can you save the entire conversation through messages, but the conversation shows up archived within Facebook.
Hope it works for you. If not I'd check my firewall settings.
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I thought it would have been integrated within messages too, but maybe that is for a later update, as I don't see the integration very noticeable unless you set it up and even then I haven't figured it all out.