Start by going to your Messaging Center (information on that can be found here) and selecting the message you would like to archive.
You will see in the top right corner of the Messaging Center three icons.
The first button allows you to archive this message. The trash can will delete your message. The three buttons give you more options to "Mark as Unread" or "Print".
You can access your archived messages at any time by clicking the "Archive" button that's below "Inbox".