Don't think this is possible yet!
You are wrong, even MS tells on their web, find chapter about Calling and messaging, section Send a text, scroll almost down and there it is:
To forward a message in a Thread
1.On Start Start icon, tap Messaging Messaging Tile, and then tap the Thread that has the message or messages you want to forward.
2.Do one or more of the following:
•To forward a single message, tap and hold the message you want to forward, and then tap Forward.
•
To forward multiple messages at one time, tap More More icon > Select messages, select the messages you want to forward, and then tap New New icon. (Note that you need to have Windows Phone 8.1 Update installed to forward multiple messages. Which version do I have?)
3.Enter a phone number or contact on the To line, and then tap Send Send icon.