Saw this over at WME...
http://forums.wmexperts.com/showthread.php?t=175014. Looks like a handy bit of software that will back up your SMS and allow you to manage them from your PC. The full version is $19.95. Granted, you could get a Dashwire account and do this for free, but with this app, you won't have to deal with the Dashwire sync process that can sometimes take a while.