Export single SMS from iPhone and import on another iPhone
If both of your iPhones are jailbroken, you can


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


This might work.