For this, you will need:

1) Nokia PC Suite
2) ABC Amber Nokia Convertor (freeware)
3) Jeyo Mobile Extender 2.5 (14 day trial)
4) MS Outlook

Have all the software installed.

With your nokia connected to the nokia phone suite, go to messages and copy all the sms you want to save into a folder on the desktop. The smses will be in .vmg format.

In ABC Amber, open the folder with VMG files. tick on "one message - one document" and select MS Outlook radio button. Now click on the Save As button. All the smses in the folder will now be saved into the Email Inbox of MS Outlook.

Open MS outlook and transfer all the sms from email inbox to sms inbox.

Run activesync.

On the top left corner of MS outlook, on the toolbar, there is a sms button with an arrow down (left button from "new sms"). click on that and select "Copy sms to device". select which folder in the device you want the sms.

Magic.

*at your own risk. this is only a guide.