You can save your SMS messages to your SIM (If your carrier allows it)
Method here - Store SMS text messages on your SIM card - BlackBerry Curve 8520/8530 Smartphones - User Guide - BlackBerry Curve Series - 5.0
You can copy/paste your SMS to yourself in an email, and then save it.
You could make a backup of your device (with the desktop software) and then extract the SMS from the backup file.
Method here - https://code.google.com/p/ipddump/