There are so many ways available, but the best way is to do conversion through software. Always use reputable software such as the Aryson EMLX Converter tool. This software convert EMLX files into PST, PDF, MBOX, CSV, EML, and MSG file formats. This tool also provides a free Demo to its users that converts 50 files for free.
https://www.arysontechnologies.com/emlx-converter/

If you are searching for a solution to convert all data from EML file into PST. So, I will suggest using a Kernel for EML to PST Converter tool. It features both a straightforward user interface and advanced performance. Get more information about this tool, visit to: https://www.nucleustechnologies.com/eml-to-pst.html

If you are looking for an EMLX File Converter, you can use the DailySoft EMLX Converter tool. It is the best professionally recommended software for converting EMLX files created by Outlook Express, and Windows Mail to multiple file types like PST, MBOX, EML, MSG, and PDF, with functionality Also, EMLX Migrator is a tool for users' EMLX files Yahoo, Office 365, Gmail, AOL, Live Exchange, can be uploaded to email clients such as Hotmail. Several other basic features used in EMLX files are built into the software.

Get more info: https://www.dailysoft.org/emlx/