Agree - first step is to make sure that you're looking in the SMS/MMS folder and not the MESSAGES folder. By default, they're seperated, though you can choose to drop them ALL into one folder if you want.
I'm looking in the SMS folder. Nothing there even though I have texted myself from another cell phone.
The message folder (one of the default 5 icons on the bottom of the primary display) shows phone calls but none since I bought the phone and transferred all data from old phone to this one.