iOS 4.2 introduced AirPrint. Devices can print documents or webpages over wifi. Sometimes, you need to print out your SMS conversations as one iPhone user found herself needing to do just that as evidence for a dispute. She and her husband figured out a workaround for getting SMS printouts:
1) Hit Edit
2) Select whichever messages you want printed.
3) Forward those messages to your email or copy paste text into an AirPrint-enabled App
4) Now you can view the conversation in a compatible App and print it out.
5) Now you have a printout of the conversation.