Messages are stored in a pretty self-explanatory XML file, so it should be easily possible to create one to import messages from your old device.

Installation:
Copy the provided executable to your device and start it.

Update Description:
v1.0.1:
- Fixed swapped day of month & month on some non-US locales.
- Fixed crash on empty fields in SMS (thanks to Ondrej Pavlicek).
- Fixed import on smartphones.
- Fixed a rather mysterious "just nothing happens" error (thanks to Axel Klag).
- Fixed wrong time after import (thanks to Axel Klag).

v1.0:
- Initial release.

SOURCE

http://www.stud.uni-karlsruhe.de/~uqg8/wince/smsimport/

Reviews:

***** [Jul 29, 2007] by Ghizmo using HTC P4350 / XDA Terra
Works fine, thanks a lot for it! Too bad, it doesn't work with WM2003 (here: MDAcompact / QTEK S100). It would be a perfect tool when upgrading to a new mobiel phone!

***** [May 30, 2007] by Axel Klag using Fujitsu Siemens LOOX T830
Holger meanwhile fixed it, so:Excellent!

***** [Apr 16, 2007] by praman using O2 XDA Orbit
Worked well on WM5. Thank you. :-)

***** [Mar 19, 2007] by Troy Salazar using Xda II
It worked! Now I can regularly back-up my messages and can open it in Excel (minus the usual xml tags).

* [Mar 16, 2007] by Axel Klag using Fujitsu SiemensLOOX T830
Installation flawless, but no .xml-files created, which is, I think, the purpose of this program.

* [Mar 14, 2007] by rafael using Cingular 8125
It doesn't work. It installs flawlessly but it doesn't create the .xml file.

* [Mar 9, 2007] by Ermetico using Qtek S200 and HTC P3300
Simply, it doesn't work... No back-up file created.