Install PC suite, Connect the phone to the PC using USB cable, and choose PC suite mode on the phone(Not mass storage).
Then when you select the messaging ICON, a new window will open and will show all the messages in ur phone. Select all(Ctrl+A) and then click File->export and all the selected smses will be exported as a csv file in PC.
Works well. That is what i am doing for the past year and half....
You can do it similarly for Contacts(Open Phonebook icon)