What kind of phone do you have?
If you have an Android phone you can use a free app called SMSBackup to sync them all over in threaded form to a special folder in your gmail account. From there you can expand and print the thread. It will also include MMS content as an embedded attachment.
If you have an iPhone, you can sync your phone to iTunes and then use one of several tools to extract the SMS content from that backup. The backup itself is in table form however there are a ton of resources for pulling nice looking information from it including the website http://www.iphone-sms.com/
(hint hint you can use that website to pull the SMS messages from ANY iPhone that has been backed up to that computer's iTunes app)
Finally, you can use a slightly more advanced tool such as Paraben's Device Seizure http://www.paraben.com/
that is used by Law Enforcement if your phone is supported and you have the cable to connect your phone to the computer. The program itself is very expensive but it is available as a full functioning 30 day demo. One other option would be to take your phone to a PI with similar software and ask them if they can do it for you for a very nominal amount.
"...it could be worse news then the fact you're going through divorce -- it could be as bad as you could continue to stay married to the lying screwing sleezebag" Thoughts?