> haven't found a convenient way to export them yet

Click the triangle on the right in the menu bar, and go to Settings. Under "General - General Account Settings" there's a light-grey link that takes you to "Download a copy of your Facebook data". From there you can request an archive of your profile.

It doesn't include all the 'shadow profile' info they keep of you, but it gives you and easy way to download all of your photos at once, easy to import in your photo management app.

EDIT: I've just done a fresh export of my profile, and it seems that sadly the photos don't get exported at full resolution, so this might not be the best option if FB is your primary photo storage at the moment.