This. Pretty much if you did something illegal enough that the FBI, DEA, ect. are involved then they could* get it with a warrant from your service provider.
If you are worried about someone taking your phone and physically extracing the data from it, then you have two options.
1) if its an older phone you can literally just erace your inbox. fill it up again with jibberish, delete. rince repeat. and you will write over the old data.
2) newer phones have lots of more memory and that wont always do the trick/just take to long. IF it has mini usb you can use this program.
http://www.bitpim.org/
Be forewarned though, you might just brick your new droid if you dont use it right.