If you need to extract attachments from a large MSG archive, I'd avoid opening files one by one in Outlook. Besides being slow, Outlook may mark files as recently accessed or create temporary cache files, which isn't ideal if you're working with archived or evidential email collections. Keeping the original MSG files untouched is usually the better approach.
For that type of workflow, there are dedicated offline extractors available. I've used the BitRecover MSG Attachment Extractor, which processes entire folders of MSG files, extracts attachments without modifying the source emails, supports date and sender filters, lets you extract only specific attachment types (such as PDF, DOCX, ZIP), preserves the original folder hierarchy, and handles embedded MSG attachments as well.
One tip regardless of the tool you choose: preserve the relationship between each attachment and its parent email. Saving attachments into separate folders (or using filenames that include the email subject or date) makes it much easier to trace a document back to the original message later, especially when dealing with large archives or audit requests.