I guess this article was made for you: Import/Export/Move SMS Messages from Windows Mobile to Android. It mentions several tools to export your SMS from WinMo to an XML file, which then can be imported on your Android device without involving 3rd party tools. It also links to more useful articles on this topic.
EDIT:
As the OP commented, he was successfully using the Piemaster.NET guide mentioned on the page I originally linked. As suggested, I add it here in case the originally linked page is unreachable some day.