You are right, you have to copy the message from ROM to RAM. Either in the way that you describe, or by using a "copy loop" like this (for null terminated strings):
mov r0,#030h
mov dptr,#message
copy: clr a
mov a,@a+dptr
jz endcopy
mov @r0,a
inc dptr
inc r0
sjmp copy
endcopy: ;the rest of your code

message: db 'text message',0

If you want to copy messages which may contain '0' as a data byte, you will have to choose another method to indicate the end of the message, for instance by starting the message with the amount of bytes to be copied.