Does anyone know how to setup the message folders so that text's, email's and missed calls go into separate folders?

I don't think it's possible. I know it's not possible on OS v4.6 and earlier... I don't think it's even possible at all.

Edit: Sorry... Penguin is right... I misread the question.

These options have been around since OS 4.2.x:

Messages > Options > General Options > SMS and Email Inboxes = Separate

Phone > Options > Call Logging > Shows These Call Log Types In Message List = None.