The only thing I know of that can do that, is the firewall in the storm. You can set it to accept SMS, MMS, PIN from only certain people, or from all of your contacts. However, you cannot receive the already blocked messages once the firewall is off
go into option>security options> firewall. you can basical block all messeges then exclude numbers you want to receive messeges for. kinda the opposite of what you want but free way thats built into the OS