I believe you will find it in Settings > Notification Settings > then make sure Enable Popup is not selected. (I'veI just disabled this setting so I'll let you know iftested disabling Popup messages - it works the next time I get a. Phone vibrates with new message, screen stays off.)
Alternatively, you can keep Popup enabled, select Popup Settings > then make sure Screen on for popup is not selected. This should allow the Popup when you're using the phone, but not when the screen is off.