As far as I know there's no way to transfer a text message, but for a photo you need to save it, go into your files, to your internal memory, and under messaging you should see your photo, hold down on the photo and hit move and a prompt will appear at the bottom of your screen, back out until you can access your sdcard, go into your sd and navigate to whichever folder you would like it under (you can create a new folder) and hit move and that should do it. Hope this helped
Just long-press the photo from the msg app and it should give you the option to "save to SD card". It is generally saved to the "download" folder, but this of course depends on the settings of whatever msg app you are using.