Windows Phone 7 - How to download SMS (text) messages to disk
The fine folks at XDA would probably be more constructive for helping with this specific question.
The short answer, unfortunately, seems to be no. It's a shame that such a fine platform lacks such an elementary tool. One thread about it is here: http://forum.xda-developers.com/showthread.php?t=999376
However, there does seem to be a messy way of doing it if you absolutely must. Check out http://forum.xda-developers.com/showthread.php?t=1072796. Be warned, though: here be dragons. It doesn't seem that you need to be jailbroken/unlocked for this.