I came across a good article which explains why messages are sometimes automatically deleted from your BB.
I know how frustrating this can be as it happened all the time when I was using the Pearl 8100. Most of the newer devices have more on board memory which solves this problem.
Anyway, check out the article here: http://www.examiner.com/x-19475-Dallas-BlackBerry-Examiner~y2009m8d6-Blackberry-101-Where-did-all-my-text-messages-go
Sent from my BlackBerry™ Javelin 8900