Hello, quick question

I recently lost my Samsung Impression cell phone.  I have a few saved text messages that have private pictures in them and I was wondering if when you "lock" text messages, do they save to the phone or to the sim card? 

I want to know if someone stole my phone and puts their sim card in it, will they be able to see my locked text messages or is it just if my sim card is in the phone?

Also, if I suspended my phone, will my sim card still work for whoever has my phone (like even though the service is disabled, will they still be able to see anything that I have on my sim card)?

Thanks!