You certainly can. Just take a screenshot of whichever text message you like and select that screenshot from the camera roll when changing your wallpaper. Go to Settings>Wallpaper>Choose aNewWallpaper>Camera Roll and select your screenshot. You then select between Set Lock Screen, Set Home Screen, or Set Both. It takes a few second to complete, then your chosen wallpaper will appear when you go to the home screen, lock screen, or both.