Welcome!
Double check your settings in the stock app. Make sure if you have "Delete old messages" checked, you have the numbers of messages to keep set high enough. By default, I think it'll keep 20 mms at one time.
Also, you might want to check the settings in handcent. I can't help you there, because I don't use it. Not sure if you're the same person, but I just saw a thread on this issue, so out might be a bug. If you locate handcent in the market, you can view their website to see if they have faqs or a forum, or send them a direct email.
In the meantime, that app Corina suggested is definitely a good idea!