Depends. There are apps that can turn them into printable text files, which you can then print through a Bluetooth connection to a printer, or connect to a computer via USB cord.
You can also do print screen of the messages, on the phone, and then, again via USB cord connected to a computer, print the images. This will help show that they actually came from messages, since all the info would be on the screen. You would then also be able to view the messages sending info (from where, time, etc.,) and print that screen and repeat the above for them.
Or you can email yourself the messages (as long as they are short enough) and then print up those mails.
Personally, I would think the middle option (involving print screen on the phone)...