SMS messages are stored against the entity they are created from. For example, sending an SMS message to a customer contact will log the SMS against the customer contact. You are able to view all SMS messages that have been sent to this contact. The same rule applies for suppliers, prospects and every other part of the system.
SMS messages can also be sent adhoc, to miscellaneous people, or sent as part as a Marketing campaign.
All outbound SMS messages can be viewed in My Desk.