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Extract the PKCS#7 object:
$ openssl smime -verify -in file.msg -noverify -pk7out > file.pk7
Dump the certificates in that file
openssl pkcs7 -print_certs -in file.pk7 > file.pem
Open the file in your favorite text editor and seperate out each certificate individually in to it's own file and import:
For each CA certificate that you want to trust:
smime_keys add_root file.pem
Note: You do not need to trust all intermediate CAs. You can simply trust the end-user certificate.
For the subject certificate that you want to add:
smime_keys add_cert file.pem
P. Pantel, and D. Lin. Proceedings of the eighth ACM SIGKDD international conference on Knowledge discovery and data mining, page 613--619. New York, NY, USA, ACM, (2002)