Hey, chwy. Welcome to the forums!
1. Yes. It's some settings under options. Click menu when in messages. Select options. Also, this question has been answered a few times. Try a search and sort thru the fluff.
2. What do you mean you "set up gmail on my blackberry?" There are at least 3 ways to do this. POP3? Stand-alone app? Thru browser? Where is the gmail folder icon?
By default all messages should end up in "messages." The notification icon at the top of the screen looks the same for all mail and SMS. You can set up filters, I believe, to file messages in different folders.