Thanks to @beeshyams for his comment.

TL;DR

Just install SMS Backup & Restore or download it from apkmirror. Copy apk to SD card. Do a backup of SMS/MMS messages (don't forget to enable MMS images/file/etc in advanced settings) and Call log to SD card. After the switch to LineageOS, install APK from SD card and import SMS/MMS messages and Call log. Done.

Story (and issues)

I finally switch from Android 5 on my Samsung Galaxy Note 3 (don't laugh, it still rocks!) to LineageOS 16.0 following Install LineageOS on hlte.

After a backup of my data (see TL;DR), I boot in recovery mode and at the Installing a custom recovery using heimdall step, the command

heimdall flash --RECOVERY <recovery_filename>.img --no-reboot

did not work properly.

My shell fail with :

ERROR: Failed to confirm end of file transfer sequence!

ERROR: RECOVERY upload failed!

and my device show a "SECURE CHECK FAIL : recovery".

From this post,

"it was the Samsung Reactivation Lock that was blocking me. Upon booting the phone, going into Apps > Setttings > Security and then typing in my samsung account password I was able to disable the lock [...]"

And recovery file upload success!

After the LineageOS install, I use SMS Backup & Restore again to import data.