How to copy SMS from phone to memory card?

Hi guys........
i need some help regarding SMS . I have many sms in my phone memory. i waant to copy them in my memory card. when i change my sms memory from phone to memory card...it doesnt gives me option to copy all sms from phone to memory card.... what cud be the reason?
is there any other way to do it?
and if i will get the option and i choose yes....will all be sms copied to memory card and will they exist in phone memory too or will they be deleted from phone? plz help me i this matter i wud be highy grateful to u