SMS messages are included with your iPhone's backup, which is created and maintained by iTunes. Your iPhone's backup is updated as the very first step during the sync process if any of the data on your iPhone included with your iPhone's backup has changed since the last sync. If you synced your iPhone with iTunes after the SMS conversation or thread was deleted from your iPhone, more than likely the SMS conversation or thread can no longer be recovered.
Give this utility a try. It will scan your iPhone's backup or backups (if there is more than one) for SMS messages included with your iPhone's backup which can be viewed with the utility - along with other data included with your iPhone's backup.
http://homepage.mac.com/vaughn/msync/
If the SMS messages you are looking for are available with your iPhone's backup, do not sync again. You can restore your iPhone with iTunes from your iPhone's backup to recover the SMS messages.