When I open a text from a contact it shows our previous messages. In Options-->SMS-->Number of previous items you can set how far back you want it to display.
I found, via a recommendation on here, a program called 3Jam. It does exactly what it says and threads all the messages nice and neat.
They have a trail version that you can check out like I did. And after a week or so, I registered it. Should have waited on that though, but that is another story.
biznatch- i have it set to pull up 20 but on my treo it just showed the contact then you would open that and all their messages were there. Just trying to limit the amount of scrolling i have to do. it drives me a bit batty teehee! thank you
Vortex337- i looked too just didn't know if i was missing it some how. thank you