hey, as far as I'm aware, you can only save 10 messages to your sim at a time.

If you're not able to see anything at all on your screen then the keystrokes from boot up would be:

menu button (top right) | select (top left) | down once | select | more (top right) down X 3 | select | select |

that would save first message, safest bet would be to hold return key to return to main menu and repeat, to save getting lost in the menus.

Alternatively, surely it'd be more convenient to connect to usb cable, power on and use the sony ericsson software to view them off the computer.

Hope this helps.