it's easy. I do it all the time. You open the text conversation with someone important who you are talking to, scroll to the message you want to keep, press and hold it for a couple of seconds until a list of options appears: delete message, forward message, copy text message, protect message and view text. Now you see Protect Message --> choose it and tadahhh you're done. You'll see a lock icon in that text you chose. Good luck!
I have great news! There's an application directly from Verizon Wireless called Verizon Messages that allows you to lock a message or save the message to your SD card. You can check out all the details at http://bit.ly/TeUcQ3 and even send the application to your device by logging into your Google account from the site.
Please follow us on Twitter @vzwsupport