Caution message before closing chat window prompting customer to save chat transcript

Customers have the option to download a chat transcript or have one emailed to them. Many times our customers choose to download the chat transcript but then don't save it before closing the chat window and lose the transcripts. They then need to contact us again to request that we resend them the chat transcript which is very time consuming. We'd like to see a caution message show up that asks them "Make sure to download your chat transcript or have it emailed to you before closing this window".