Save your most important text messages for posterity with web site Treasuremytext. The site setup is simple: After signing up for an account, you just forward the messages you want to save to the Treasuremytext number that fits your region (for the US, that's 203.434.0893). Treasuremytext will archive the SMS message and even give you options for organising your saved texts. As more important communications take place over SMS, SMS apps will inevitably need to improve text management and desktop backup. In the meantime, Treasuremytext fills the gap nicely. As a bonus for iPhone users (whose SMS app does not offer forwarding), there's a Treasuremytext iPhone app that runs on jailbroken iPhones.
AU - looks like we fit under the "UK and rest of world" banner so the number is +44 7781 486 064 (yep, that's a UK number, so beware the overseas SMS charges!