I'm running iOS6 on iPhone 5, and I don't have the "Print" option in the forward screen as per your instructions (yes, I have an Airprint enabled printer).
Messages > Edit > select the texts you want to print > Forward > and then email them to yourself and then print to AirPrint device, or send them to your computer and print from there.
Less glamours, but less steps, (if you do have an Airprint enabled printer) you can take screen shots (press home button & sleep/wake button simutaneously) and then print from your camera roll.
Try this tutorials: How to print iPhone text messages(http://www.iphone-mac.com/how-to-print-text-messages-from-iphone.html)
It lets you save your text messages as a MHT file and then you can print out your sms conversations.
Hope that is helpful!