My plugin Master do that, although if you need to do it for many components, it may take a bit of time.
- Select instances you want to create a new local component from. You can use default feature in the menu Edit → Select All with Same Instance or plugins like Select Similar to find them.
- Go to Plugins → Master → Create Component from Objects.
Master will create a new component and attach all selected instances to it. You can also use the Pick & Link feature to link instances on multiple pages to any component. Here are the instructions and tips on how to use it:
And a video on how to use Master so you can see it in action:
