there are two ways that i know of

*use bluetooth and the application switch on 5800 / sync on the n900 to send them and any other things like bookmarks etc

*make a back up to mmc of just conversations on the 5800 then put mmc into the n900 and then go back up on the n900 and restore from the mmc

these are two possible methods , if you dont want to buy an mmc cant you borrow one from someone else phone for ten mins or buy a 1gb card for about 2pounds