The information is saved to in a 'backup+restore' folder on the SD card.

The release is titled 'contacts+message backup' and the tiny app only installs to the Settings on your Windows Phone (it will not be listed in your apps). Contacts+message will "backup of all your contacts (in VCF format) and messages (SMS & MMS including attachments) to SD card (in XML format) for later restore to same or another Windows Phone."

If you are running Windows Phone 8.1 on a device with expandable storage via an SD card, you may want to grab this new system app from Microsoft.

If this all sounds vaguely familiar, it is because we recently ran a story on the Xolo WIN Q1000 Windows Phone that had this same app built in. At the time, we implied how it would be useful for all Windows Phone users to have this ability, and many of you agreed in the article comments. Evidently, someone at Microsoft was listening because you can now download the <1 MB app to your Windows Phone 8.1 device to get the same function.

Oh and what happens if you install this to say a Lumia Icon (aka a phone with no SD card option)? Nothing much. The system app will appear in Settings, but (a) it will note no SD card was found and (b) you cannot uninstall it. Sure, it will not harm your phone, but it creates an unnecessary listing in your settings.

So, heed that warning before installing!

Anyway, grab the app and enjoy backing up your contacts and messages locally on your Windows Phone and save that data.

Download contacts+message backup for Windows Phone 8.1 (micro SD card required)

Big thanks to aromal t c for the tip!