if nothing else works, and this would suck time-wise but probably work, you could long-press each message, copy it, go into a notepad program, paste it there, and save that to the memory card. sorry, i don't know any way to natively save SMS to the SD card, hopefully someone else can jump in with that but this may be a decent workaround if all else fails

 

I have a program called Note Everything. I can figure out how to copy SMS messages but how do I paste them to this program? Anyone know? Basically I want to be able to save some important SMS messages in the phone. Rogers HTC Magic 1.5 Thanks