18 months ago, I ended up with an Optus account - I was on a 12 month contract in order to receive an iPhone. For various reasons, I decided not to port the number I'd been using for almost a decade to Optus, but keep it active on another carrier instead. As of a few weeks ago, I've now migrated away from Optus, and I want to switch back to my original number. I want to keep the number I'd been using on Optus active for a while, but I don't want to be answering it - I just want people who use it to be notified about my new number.
This is made easier by the fact that the SIM lives in my Nexus One (given to me by my employer as a Christmas gift last year, but this post, as always, is entirely my own opinion), which runs Android 2.2. Unlike on an iPhone, this means I can have all sorts of applications always running in the background - and those apps can take access the SMS database, respond to incoming SMSes, and sending outbound SMS.
I tried a few apps, but ended up settling on Ultimate SMS. This app allows me to set an auto-response sent in reply to any incoming SMS ('James does not use this number any more; he can be reached on 0407123456 instead). This app also forwards a copy of the inbound SMS on to my new number - so I usually get it, and respond to it, while the person who messaged me is still reading my auto-reply.
One last special feature from Telstra makes this twice as useful: SMSes sent from their Message2Text service show the original caller's number as the origin of the SMS. This means that if anyone calls me and leaves a message, they still get an SMS in response notifying them of my new number. Even better, Ultimate SMS includes the original number when it forwards that SMS to me - so even if their call was from a number that can't receive SMS, I still get their message on the phone I do carry, and I know what number the message came from.
Update: Between drafting this and posting it, my Nexus One went missing. I'm now doing the same thing on my G1 running Android 1.6.