Yeah. If you take them off the SIM card they'll only show one copy instead of two. The way I did this was to import all the contacts to my phone from the SIM, then connect the phone to my computer and copied all the vcf files. I believe they'll be in the folder "sd" on your phone. I saved them on the computer so I have a backup if I ever need it. Use the 'Safely remove hardware' feature on you computer. Then you can turn off usb file transferring on the phone, and disconnect the USB.
Then use the 'Contact Remover' app from the market place. This will erase all the contacts you have on the phone and the SIM. This might take a few minutes to do depending on how many contacts you have altogether.
Once that's done, you can reconnect the phone to the computer and move all the vcf files back into the sd folder. Then again disconnect the phone (you can't really edit anything while its mounted) then go to the contacts app, then Menu button>More>import/export>import from sd card.
That will put all the vcf files for your contacts back, and they'll only be in the phone, not on the SIM. That will make it display only once through the messaging>contacts option like you're using.
Let me know if it all works out.