To save sms threads (doesn't work for mms...) install the app SMS Backup. It stores them in your Gmail account.

As for screenshots, I haven't had success with it, but many people have reported that the application "Shoot Me" works on their un-rooted phones.

 

Shoot Me requires Root, so shouldn't be working on unRooted handsets (there was a bug in the EVOs first firmware that allowed it to work, since been patched, that may be what you're referring to).

The 2.2 firmwares have screenshot ability inbuilt.

+1 for SMS Backup, great little program, although I see SMS Backup+ in the Market now too which looks good (seems to have a restore option).