I depends on how you wish to store it.
Do you want the individual field values to be mapped to columns, do you just want the entire message stored as an ntext/image or a combination of both?
The easiest way is to use the SQL Send Adapter, with an updategram.
Use the Add Adapter Metadata wizard to generate the schema.
Create a map, from your message into the Sql updategram schema and send the updategram message to SQL.
The SQL Send adapter will also use a stored proc, if the SQL insert/update logic is too complicated for an updategram.