unless the curve is different, thats not true. If you go into your messages and options and General options, where you see "SMS and email boxes" Set it to separate and it should be how I think you want it. Again I'm on a Curve so it may be different.
EDIT: I just re-read your post. What you'll end up with if you do what I posted is your email in your message folder and your SMS/MMS in a different folder