I have a 4gb memory card in my phone, it is empty. I get message that my sim card can only hold 40 SMS messages. Why does it not store sms messages on the 4gb card? This is a real nuissance to keep selecting some messages to delete
I personally don't save SMS so just taking a guess here but have you tried going into your messaging app and going into the settings in the messaging app and see if there is a setting to switch between where SMS are saved?
Also instead of saving SMS to a card why not back them up to a cloud service if your phone provides that, I know some of my Samsung devices back it up to my Samsung account if I so wish and that leaves more room free on say the SD Card for other things.