Treasuremytext for iPhone lets you archive SMS messages from your iPhone to Treasuremytext, an SMS archive service. The application also allows you to delete individual messages. Treasuremytext for iPhone: treasure your favorite SMS forever.

Features:

Delete Individual SMS
Archive SMS messages
Archives and deletes
No message charges (works over EDGE / Wifi)

To use this you need a jailbroken iPhone and a Treasuremytext account, which you can get via http://beta.treasuremytext.com. As of right now new accounts are only being offered by invitation only, so you can enter you email address to get an invitation sent to you. To add the app in Installer.app add the following Source URL http://beta.treasuremytext.com/downloads/iPhone/. For more details on the native app check out the developer’s website here

Use iPhone mods and hacks at your own risk! Installing 3rd Party iPhone apps requires you to jailbreak the iPhone before installing the native software and apps. You can use Installer.app for Mac OSX and iBrickr for Windows PC to do this. Browse the full list of all iPhone and iPod touch native 3rd party apps filed under the software category.

More info here