No, but you can save them online in your outlook.com account.
Go to "outlook.com" on your pc, log in, and try some of the things suggested in this thread.
http://forums.windowscentral.com/windows-phone-8/225574-3.htm
I eventually managed to get it to work after some fiddeling around.
The settings that work for me are :
- login to outlook.com
- click on messaging history
- remove the "b" at the end of the URL
- click on Arrange By
- click on Conversation view
They can be mixed in with mails but you can simply select the sms's and copy/paste them into another folder in outlook.com, but haven't found a way to move them to skydrive or anything else.
At least you can archive them this way and read the actual texts...