[tiermann]

I wrote this up real quick. No guarantee that it even works :P
Requires .Net CompactFramework 2.0 or higher.
To install, just unzip it and copy CopyCEMail.exe (only 9kb) to your \Windows\Startup folder.

What it does...
It runs in the background and waits for 3 events to be triggered.
1) A change in unread SMS count
2) A change in unread MMS count
3) A change in unread Email count
When either of those happens, it will copy your cemail.vol to \Storage Card\cemail.vol. That means if you get a new message of any of those 3 types or if you read a new message or mark it as read then it will copy the file to your storage card. If the phone just woke up and the storage card isn't ready, it'll wait 5 seconds and then try again before giving up.

Outgoing messages won't trigger it, but this should atleast give you a decent amount of backups.

Hopefully it works for you. If not, there's probably a commercial app to do it.