There is no straightforward way to do that that I know of. You might be able to use the developer's JDE. BlackBerry JDE
You might be able to extract the SMS with something from the kit... Though it will be a hack. Be careful, you could royally hose your device with this kit. Back everything up before trying anything in case you need a complete re-install (including OS).
Silly that this feature isn't straightforward.
Let us know if you figure it out.