What I would do is get everything else set up and make a nandroid backup before you do that restore. The kaos froyo FAQ reports that many people have issues when they try to restore SMS messages from another ROM; I know that I did, though I used Titanium Backup.
I use an app called SMS Backup:
SMS Backup - Android app on AppBrain which will automatically copy all text messages, both sent and received, to a specific label in your gmail account. This will at least give you a record of the SMS conversations that you have had if the restore does not work.