Show SMS content only after unlock? (Handcent)
I believe you will find it in Settings > Notification Settings > then make sure Enable Popup is not selected. (I just tested disabling Popup messages - it works. Phone vibrates with new message, screen stays off.)

Alternatively, you can keep Popup enabled, select Popup Settings > then make sure Screen on for popup is not selected. This should allow the Popup when you're using the phone, but not when the screen is off.