OK guys it can be done, thanks to other tips from the forums plus a little research.
On your Windows phone go to "settings/contacts&message backup/backup" and just tick the sms box and backup to sd card. Oh no you don't have a separate sd card? Don't worry there is one built in - trust me.
When you have done that you can connect your Lumia to your pc and navigate to sd card/backup/Data/ and you'll find a folder with a long number. Inside that folder you'll find a SMS folder and inside that a file sms.vmsg
Copy that file and paste it into your default download location on your Android phone (I put it in my sd card)
Now, on your Android phone go to the store and download VMG Converter and install it.
When it's installed run it - whoopee it sees all your sms texts! You might get some advertising but just close that and you'll see all those sms from your old phone, and I mean all of them.
At the bottom of the screen you can choose to "Select All" or you can just scroll through them and tick the boxes of the ones you want.
Now "IMPORT" and when you are asked to make VMG Converter the default reader for SMS select "YES" and the ones you want will be imported to your phone. As soon as the import is completed you will be asked to change it back to the standard sms application.
So now you have the sms transferred and still have the sms.vmsg file to go back to if you want to import some others... Or you could clear the sms.vmsg file and uninstall VMG Converter if you really want to.
It's easy - I'm an old man and needed those sms because some important insurance details and phone numbers were there. I worked it out because I'm a stubborn old git who hates to be told that something can't be done. It will take you about as long as it took you to read this, just follow each step and you'll get the results you're looking for.