As soon as a message dialogue is opened, the messages are saved.
Even if you did not read the message, you can still click on the person (in the BBM contact list) open up a new chat, and you should see (up at the top) View Recent Messages. If you click on that, you will see the BBM history (Broken down by date). Repeat the process to see other histories, and also, it will not work if you have an active chat open(as the messages are still able to be viewed in the chat window)