Contacts you can export to your SD card (as a vcf file) and import in the new ROM, for messages i use "SMS backup and restore" app which is really fast and simple (there's a similar app for call logs too from the same developer on the play store if you need it), and for apps, Titanium backup.
In order to use ICS based ROMs other than my Dovahkiin, you need to flash the new bootloader using AIO toolkit. This will wipe your internal SD, so back it up first. For more info on the two bootloaders, refer to
this FAQ. For Dovahkiin, it is really simple, you just need to make a wipe and flash it, thats it. No need to do anything else like backup SD, change bootloader and partitions, restore SD etc.