It can be skinned (if you know what you're doing with res hacker) by editing l3v5yExtendedFunctionsResources.dll that should reside in \Windows.

Install it, and restart your device. SMS Settings can be found under Start->Settings->System tab.

Tested on my Diamond and Prophet, and in the WM5 emulators, so should work on all WM5+ Pocket PC devices.

Note:
SMS threading will only work on WM6.1 ROMs, since it's OS dependant...