You won't be able to get all your games in a single dump unless you have a small amount. PGN exports are limited to a page of games at a time.
In v3, you can load more on a page but you have to keep hitting the more link to get to additional games. I don't know if you can get at the whole archive that way or not but it could be time consuming.
Ok, so I recently weaned myself of my 3min chess addiction. As a free memeber I was able to get the last month of games as a PGN. If I join as a premium member, say for 1 month, can I get the whole history for like the last 4 years in a single PGN? Might be a jump-start for a personal database...
There must be some ideas in those thousands of games I can use for OTB chess!