After following the steps suggested by chrisy520, there must be a separate icon for SMS. If you still don't have it check below things.
1. Show all hide icons
2. Change your theme and check
3. If nothing works upgrade your device os.
First worry about finding that icon before setting convenience keys. It is somewhere and sometimes its a pain to find those little buggers. the icon should look like a phone with a small envelope to the right. Its def there, somewhere. If you use a theme remember the icon may look different, but you cant get rid of it, only hide it, which you should be able to find by unhiding all icons.
