Do you mean to archive them? Or to transfer them to the new phone to pick up where the conversation left off?
To archive them, just do a backup. However, bb backups are encrypted and you'll have to pay for 3rd party software to read it. Or you can buy an SMS exporter and save them to your sd card in a .txt file.
As far as transferring them to the iPhone, I'm unaware of any way to do it... Easy or otherwise. But my assumptions lead me to believe that if apple won't let any developer take over SMS to run a 3rd party app, why would they allow the injection of SMS into their native app?