Newer S40 phones (including 6233 and later) can store messages in memory card. But that applies only to files recieved via bluetooth/infrared. Regular sms/mms cannot be stored on memory card. Also in case of files received over bluetooth/infrared, the phone stores the messages in the memory which has more free space, which means it can either be phone memory or memory card. There is no option in the phone of any kind that'll let you choose the message memory of your choice. The phone decides it on its own.
Previous S40 phones lacked this feature; they saved all messages in phone memory only.