Hey buddy, why do you want to stuff the messages into your memory card?
This would slow your mobile very much.
The better way would be to store your messages onto your computer.
Store them in one folder using the copy paste in PC suite. This is what i do, and i have around 4000 messages of mine in a folder.
If you need privacy then you can hide your folder, if you wanna know how you can hide your folder you can read this tutorial
here
This tutorial show you how you can hide your folder like a pro.