How to transfer or back up my iPhone 3G SMS messages to iPhone 4?
Step 1: Make sure you have the latest version of iTunes and iOS.
Step 2: Connect your current iPhone to iTunes and sync it. Verify that your original iPhone is backed up.
Step 3: Connect your new iPhone 4 MC603B/A to iTunes (on the same computer you used to back up your current iPhone 3G).

Step 4: iTunes will ask you if you want to restore from a backup or set up your new iPhone as a new phone. When prompted, select the backup of your current iPhone. If iTunes does not prompt you to select a backup to restore when you connect your new iPhone, use iTunes to restore iOS on your new iPhone and try this step again. Note: During the process of restoring your old backup to a new iPhone, you may see the iTunes progress bar pause. If this occurs, please allow for additional time for the upgrade to complete.

Step 5: After iTunes finishes restoring the backup you selected to your new iPhone, the iPhone will restart.

Step 6: When your new iPhone appears again in the iTunes window, select it.

Step 7: Click the tabs (Info, Music, Photos, and so on) and verify or change the items you want to sync.

Step 8: Click Apply to sync your new iPhone 4 with iTunes.

Step 9: Verify that your saved SMS messages are present on your new iPhone.

Note: If saved SMS messages are not present on your new iPhone, then restore-from-backup may not have been successful. In that case, verify your current iPhone is properly backed up (see step 3), then use iTunes to restore iOS on your new iPhone and continue following these instructions at step 4.