Every times, when you upgrade your ROM, you will lost your all sms in your phone. So, we need a sms backup program. There are a number of applications which can backup sms to Gmail. They will send all of your sms as email to your Gmail. This is a workable way. But I don't like it very much. First of all Email is email, SMS is SMS. They are two different things. I don't mix those two things together. Moreover, I don't want to put everything on the cloud. I want to keep some records in my local drive. Well, I did a search in Android Market and I found an application calls "SMS Backup and Restore".This is another type of application. Simple and just did what I want. It can backup and restore SMS via xml files in your SD cards, no internet connections are required!

Just like this, you can through a simple menu like this,to backup SMS to xml files, and delete those old backup files. Nice and simple!

Look! After I triggered a backup action, all of my SMS is backup into a xml file.
Lastly, I found it has a automated backup feature. You can set a schedule to backup your sms automatically. All you need to do, Press Menu button -> Preferences-> Schedule Settings:

Then you can enable the scheduled backup, you can set when you want to start and frequency of backup.
By the way, I said it doesn't require to use any email features, but it can send the backup files to your email. Please click Menu button -> Send by Email

That is a "must install" application!And it is FREE!