It is built in. Just make sure it is setup in the backup from the settings screen. Works pretty well. If you hard reset the phone for any reason it will restore them automatically.
•Log into outlook.com and then right-click on one of the categories under "Quick views" on the left hand side bar.
•When the pop-up menu appears, select "Manage Categories"
•On the screen that comes up, tick "Quick View" and "Filter" for the Contacts category.
•You'll see "Contacts" appear as a new Quick View.
•Hit it, and you should see your SMS messages pop up in there.
I got this from and MS Web page which referenced a post on this site