Recent SMS messages can be found in the SMS Inbox modal on the right hand side of the dashboard.
When an new SMS message is present, there will be a small green dot to notify you of this fact
Unread SMS messages will be denoted by a solid speech bubble and a read message will have an outline speech bubble.
Clicking upon a message will allow you to see not only the latest message, but also any recent updates from that user. A full history of a users communication can be found by searching for the user, bringing up their account page, and from the engagements tab selecting the archived communications heading.
After selecting a message you'll have the ability to respond directly to a customer.
You can also mark a message as unread again in case you'll need to take action on this message later