This happens to me. The thing is that the OS tries to load the ENTIRE history, rather than just, say, the last 50 messages. This causes me to have to delete the conversation outright from time to time too.
i've been wondering if this might happen ever since i sent/received my first from messages with my DVP... kinda annoying if i'm going to have to periodically delete my conversations just to keep messaging.
ah well. hope this gets addressed with mango. i remember the iPhone used to load all as well, then switched it where you had to click to show more. more doesn't give all messages, but a certain amount of messages (not sure what the number is) gets loaded up and if you need more, you'd hit the more button.