I've done this with Twilio and some custom code. You will have to keep the state in Drupal somehow (e.g. as comments, nodes, or your own approach). Twilio POSTs to a URL on your server when you receive an SMS, at which point you can create a comment programatically. Then you use the sms api to POST to twilio's api/server and send the reply (which you can also record as a comment). This doesn't take much custom code.I see there are a few modules for SMS messaging in Drupal. Do any of them allow chaining messages to create a dialog? That is, we send one message with choices; they choose one and send that answer to us. Then we can send another message based on the first answer, etc.