Yes, on the certain Nokia devices support this functionality via the Destinations (or Network destinations) setting in the firmware.
For all other S60 devices (older), the Nokia Messaging client does not have the functionality to automatically switch between access points. However, there are 3rd party tools (e.g. Psiloc Connect and SmartConnect) that can help you manage your access points. These tools are connection manager tools that allow you to define an Access point group and add any number of access points to this group. Thus, through the creation of one access point group you should be able to switch seamlessly between WiFi, WLAN or network Subscriber Identity Module (SIM) without having to manually change your access point.