This is probably as close as you're going to get without a court order to give AT&T...
Need to print SMS messages from your phone? My wife needed evidence for a dispute and it was all in SMS on her phone. After searching the web and getting frustrated with the poor programs and lack of something that works, I chanced upon a workaround.
When viewing the SMS messages, hit edit. You then have the opportunity to select whatever messages are needed. Forward these to your email or wherever you wish. You then have a text transcript in the body of an email that you can cut/copy/paste into Pages/Word/etc. for printing.
[crarko adds: Some other options are copy/paste the text of a message into an AirPrint enabled app on the device or using a program like PhoneView to copy the SMS messages off the device. Perhaps as Apple gets its AirPrint act together it will be enabled in all the bundled apps in some future update.]