As far as I know, text messages aren't stored on the SD card but rather on the phone's memory. I would prefer this as I MMS a lot and quickly rack up megabytes on the memory.
In order for you to back them up to your sd card you would need an app like sms backup and restore. It works perfectly and you can set it up to back up your messages automatically. I use it when I wipe my data to flash new ROMS and it restores them like they were every time