Will I lose my messages if I downgrade my iPhone from iOS 5 to iOS 4? I have found some resources on how to downgrade my iPhone 3GS from 5.0.1 to 4.3.3. I have saved the required SHSH blobs so I am ready to proceed.

I have a question though - if I do downgrade, will I be able to keep my SMS messages?
Will I be able to restore a backup done on the iOS 5?
Yes, without a doubt. Unlike with the new ability to update only changes to the OS with iOS 5 delta updates, downgrading your OS will require you to restore the phone. Which essentially reformats the drive.