Tested on latest Firefox & Chrome with tampermonkey. (Violentmonkey might also work).
This script appends all favorites from the current category/search to the page. After it finishes loading you can copy the text, save the complete page with Ctrl+S or use an add-on like Save Page WE (Or SingleFile).
If you enable the "load thumbnails on page load" option in the e-h settings, the output will include all thumbnails as well.
Don't change the view style in another tab while the pages are loading. (thumbnail view into list view or vice versa)
Chrome and some other browsers throttle background tabs so if you go to another tab it might prevent you from loading all the images.
Top text box inspiration and its code is from this old script. But this one won't have an import feature like that one (for now). Used libraries: jquery, he.js and GM_webextPref for the preferences menu. Many thanks to the authors.
Settings (You can change these in the menu) Page Timer = 2500 ◀◀Waiting timer for each page. Making it shorter will break things. Insert to Page = true ◀◀Insert other pages to this page's table. Set this to 0 if your browser crashes. You can still use the textbox to save them.