Should I create an entry for an e-mail conversation?

How you cite e-mail messages depends on how you are using them in your work. 

If you refer generally to a series of e-mail exchanges that you had with the same person over several months or if you repeatedly discuss or quote from such an exchange, you could refer to the e-mail messages in your prose or in an endnote. But if you quote directly from a single message that you received or paraphrase its contents, it may be clearer and more economical to create a works-cited-list entry for the message.