If you want to save your SMS messages from your iPhone, there's now a free way to do it. If you're on a Mac, that is; I'm not aware of any ways to do it on a PC. But, Syphone by Micromat will backup, import and export any SMS threaded conversations that you want. And it will display conversations in threaded glory as well. It's a teensy download, under 1 MB, but it's available here.