I believe they're stored in a sqlite3 database, so it's not as easy as just copying a file.
It looks like this is the database:
I don't have any mms/sms messages atm (recently wiped phone), so I don't have any data to look at in the database.
If you want, give me an IM or PM and I'll give you my cell number so you can send me an sms with a pic, so I can figure out how to extract it from the database
"Whether You Think You Can or Can't, You're Right"
Android Developer Phone 1 - JFv1.51 - REPRESENT!