SMS Threader is a freeware application for Windows Mobile 5.0 devices that allows you to view and respond to SMS messages from your mobile device in the form of an Instant Messenger like chat conversation thread. One can keep a tab of SMS conversations between yourself and another user like your IM chat history (This feature is supposedly available in Palm treo 650)
Other features include sending SMS through email (keeping it in your SMS thread) and saving your SMS conversation sessions in an HTML file so that it can be viewed on some other device/computer.

Download Link- http://www.trianglepowers.com/ppc6700/ViewApp.aspx?ID=37