I did some searching for you, and found this thread:
http://forum.ppcgeeks.com/showthread.php?t=56965
Looks like there is a program called SMS Backup. You could also use PPCPImbackup which I know is free, instructions are in the thread.
PowerSMS is the program I would use to do that, its maybe $10-$20, can't remember, but it exports them to CSV format which is easily read in tons of programs like Excel.