I have a Pearl and I select the Save option on my SMS messages, and then delete them from the inbox. Then they will only show if you go to the "Saved Messages" folder from your menu. This is usually hidden enough for me.
Thank you jacaranda1, that seems to work. Can I password protect saved messages?
Don't I wish! From what I can tell so far, and I just bought my BB Curve last week, we'll just have to keep the entire handset locked/password protected!