I'm able to log into a web address through AT&T, access all my text messages that I send/receive, and even send them from the web page. Nice service that AT&T provides that not everyone knows about. I'm sure other carriers do something similar. I can print any or all text messages from there, which makes it rather nice for hard copy if I ever need it.
Other than that, screenshot and print, as Microsoftjunkie suggests.