What is your File Free Memory? Are you running out? Memory Cleaner doesn't automatically delete texts at least not on my 8330. But I have about 25mb's left. Have you looked at your settings for "Keep Messages?" You can set it from 15 days to Forever.
The actual Memory Cleaner can be accessed through, Menu/Options/Security Options/Advanced Security Options/Memory Cleaning.
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Memory Cleaner is a security function. It cannot delete text messages, nor prevent them from being deleted if you are low on memory. Running low on memory is the likely explanation. albee 1 has pointed you to the correct solution in that case.