In the market, search for "SMS Backup & Restore". Install it.
Open it. Click on "Backup SMS Messages" and Click on "Ok". This will backup ALL threads (you can edit this file later to only include certain threads). Once this is finished, and with SMS backup and Restore still open, hit the menu button and click on "Send by Email". Select the file that you just saved your texts to. Type an email address and click on "Send".