There should be an icon for it. If you are on the home screen with all the icons, press the menu key and select show all to see if it's hidden.
If you use a zen theme, go to the zen home screen (escape a few times to get to the zen list) and trackball to the right to get to the profiles icon at the top near the signal indicator.
Or, you can turn off dial from home screen (open the phone app and press menu). Then escape out to the home screen and press f
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the profiles icon is normally a picture of a phone (it's the icon where you can change your ringer status).. if you scroll to the bottom there will be "advanced" and you click it, then click again, and then you will see SMS text and you can change the tone... hope that helps
Funny,because I accidentaly stumbled onto the feature where you can change the message tones, but now I can't seem to figure out how I did it
Click on the Profiles icon. It looks like a phone or a speaker in most themes. Scroll down to and click on Advanced. Highlight the profile you want to modify. Press the menu button, and select edit. Select the following options to change the various ringers:
