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Procedure
1. Log in to Facebook. Click on the top "Account" link, then click on "Account Settings."
2. Click on "Mobile." Click on "Add a Phone." Type your password for verification.
3. Choose your country and phone service provider, and then click "Next."
4. Open your cell phone's messaging panel. Text the letter "F" to 32665. Wait a few minutes to receive the confirmation reply. In the reply will be a confirmation code.
5. Type the confirmation code into the Facebook mobile verification box. Now you will be directed to your mobile settings page.
6. Click on "Edit" next to "Notifications" to enable notifications by text message. Choose the types of notifications you want to receive via text.
7. Click on "Edit" next to "Text When Someone Messages Me." Choose whether to receive texts when someone sends you a Facebook message.
Note
To set a daily text limit, click on "Edit" next to "Daily Text Limit" then select your limit.
(Taken From ehow.com)