Copying and pasting is what I've usually suggested to get your own copy outside WH.
But it's just occurred to me that a better option that might be what you are looking for is to:
1- go to your report and view it on the 'print' view (printer icon towards the top right)
2- scroll through your whole report to make sure all the photos have loaded (very important!)
3- choose to print from your browser menu, but rather than sending it to your printer, you should be able to print to a PDF file.
You can then get your walk reports pretty neatly in pdf format with all the photos included in it - not reliant on where the original photos are stored - and the maps seem to work OK like this too (though obviously not interactive). Obviously the files are massive if you've a report with lots of photos
Not sure whether this is what you are looking for but thought it was worth putting up as an idea.
We have several levels of backup within Walkhighlands, but I guess that's not what you are asking as its not in a readable format.