Export single SMS from iPhone and import on another iPhone

If both of your iPhones are jailbroken, you can

  1. Login into your old iPhone via SSH
  2. Download /var/mobile/Library/SMS/sms.db file from your iPhone
  3. Open the file with sqlite3 command in your computer or any SQLite client.
  4. Get the last message based on timestamps with SELECT SQL command.
  5. Then login into your new iPhone and open /var/mobile/Library/SMS/sms.db file with sqlite3 command, and do the reverse action.
  6. That means: insert the new message with INSERT command

This might work.