First off, welcome to the forum! this is a great place to learn about all things Droid! i hope you stick around and join in the fun.
as for your question, i don't believe there is a way to mark texts as unread - i've never seen or heard of that as part of the stock mms. it might be a feature in a mkt app, such as handcent, chomp, or some of the others. hope you find what you're looking for...