They keep the message data in the flash memory area, rather than in SRAM. See http://arduino.cc/en/Reference/PROGMEM
I'm working on making a scrolling LED matrix display. I'm storing a 1-bit bitmap of the entire display content that's being scrolled in ram and then using a moving pointer to update the display with a portion of the ram area. It my own idea, but I don't know if I'm reinventing the wheel or there's a better way to do it. It's working beautifully; the problem is that I'm burning way too much ram with this technique. A 100-character message will use 600 bytes of ram with my 5x7 font, which seems excessive when the MCU only has 1 or 2k.What do people normally do to implement a scrolling display?