go to messaging...

when you're messaging menu click for the options and go @ settings and seek for other...

and select your preferences there, phone memory or memory card....

hope this help

use sprite backup

There is a software which helps you back up the contents of your phone memory. You actually have a choice whether to back up or not the mail (messages) & you can even select how your files be compressed(high/med/low). You can also find it here in imserba. Anyways, here it is...(sprite backup)