You can back up the messages to your Gmail account and from there you can access the Gmail account on the computer and download/save. There are apps available to save messages to sd card, etc.
You can forward to any other device or email address - I use SMS BACKUP and RESTORE for my wife since she is a text saver - It is scheduled to run daily - there are other apps out there that are similar. The file where they are stored on the Evo is in the operating system and not on the memory card.
Larry ~ OKIESTRO