Do you know how to print out messages from iPhone?
I recall using the Cloud to share and then printing from another device.
See this http://support.apple.com/en-us/HT201387
I have an HP printer and I set up HP's free Mobile Printing.
You can go into Messages, open the SMS or iMessage thread you want to print. Then, choose Edit, select the conversation item(a), then select Forward and send them to the email address associated with your printer, and they should print.
The process suggested is correct - - send them somewhere else where printing IS supported.
Of course, Apple sells AirPrint
IMO, another email forward is ridiculous. Some form of P2P or application like iTunes would be preferred - -
except iTunes doesn't access SMS or Email;
@bluejolls got it right. HOWEVER, the email forward will arrive with all parts of the conversation compress into one paragraph making Who said What impossible to see. If it's important enough to get the hardcopy (as was mine), you can copy/paste the email into Notepad and reconstruct the conversation by inserting NEWLINES as appropriate