Try this... instead of using separate folders, use combined. To view SMS only, open the Messages application and hit Alt+S. Alt+S is a hotkey assigned to a saved search. If you prefer to not see your sent SMS messages, you can either edit the saved search or create another saved search and set it to exclude sent messages. I have multiple e-mail addresses on my BB and I use the Alt+[letter] function to view the addresses separately.
The saved search functionality is the same thing you're doing now, except you have an icon to open messages with that saved search already up.