Once you have the program downloaded, start a new book. In the layout, select Blog to Book.
It will download 500 entries. These are the first 500 entries you posted, in posting order rather than chronological order. It doesn't do comments. I see no way to make it skip some entries and start slurping the next 500 entries.
Sadly, this means that it is completely unusable for me, but more power to you if it works for you!