This guide explains how to replace your current iPhone 3G with a newly purchased iPhone 4 using the same carrier. If you follow these steps to transfer your previous iPhone 3G first, and then restore the backup to your newly purchased iPhone 4 which will present your saved SMS messages.

Step 1: Make sure you have the latest version of iTunes and iOS.
Step 2: Connect your current iPhone to iTunes and sync it. Verify that your original iPhone is backed up. For more information on how to do this, see iPhone: iPhone and iPod touch: About backups

Step 3: Connect your new iPhone 4 to iTunes (on the same computer you used to back up your current iPhone 3G).

Step 4: iTunes will ask you if you want to restore from a backup or set up your new iPhone as a new phone. When prompted, select the backup of your current iPhone. If iTunes does not prompt you to select a backup to restore when you connect your new iPhone, use iTunes to restore iOS on your new iPhone and try this step again. Note: During the process of restoring your old backup to a new iPhone, you may see the iTunes progress bar pause. If this occurs, please allow for additional time for the upgrade to complete.

Step 5: After iTunes finishes restoring the backup you selected to your new iPhone, the iPhone will restart.

Step 6: When your new iPhone appears again in the iTunes window, select it.

Step 7: Click the tabs (Info, Music, Photos, and so on) and verify or change the items you want to sync.

Step 8: Click Apply to sync your new iPhone 4 with iTunes.

Step 9: Verify that your saved SMS messages are present on your new iPhone. 

Note: If saved SMS messages are not present on your new iPhone, then restore-from-backup may not have been successful. In that case, verify your current iPhone is properly backed up (see step 3), then use iTunes to restore iOS on your new iPhone and continue following these instructions at step 4.

Tips
If these steps can not better transfer your sms from iphone 3GS to iphone 4,we suggest you can try out a kind of iphone sms transfer software called Tansee iPhone Transfer SMS,and its trail version is trusted to backup all important sms messages for iphone users.
With Tansee iPhone Transfer SMS,you can transfer the backup of all important iPhone SMS to computer as a txt file or a ANTS file.