Here is an interesting useful application that I got after I asked a question on android developers group. I had almost started developing this application that would backup the SMS messages on the device to the GMail account.
Essentially the application is called SMS Backup, one can search this application with this string in android market. Once downloaded and installed you need to setup your google account in the application and make sure that google account is IMAP enabled.
After this simple setup, your SMS messages would be backed up to the GMail account under a label SMS. This also can be changed from the application settings.
Currently it seems that the restore functionality is missing. I would have liked to have that functionality as well.
I would still recommend this application to everybody.