This has been already well known. The MobileSMS uses two PNG images as the message bubbles:
Balloon_1.png is for the outgoing messages
Balloon_2.png is for the incoming messages
To customize the bubbles, simply create two PNG images with transparency. The dimension is 43 x 32 (W x H) pixels. Rename the two files to Balloon_1.png and Balloon_2.png, then upload to your iPhone, put into this folder:
/Applications/MobileSMS.app
overwrite the old images, you may want to backup the original images in case you want to revert. Restart your SMS application to see the effect.
Here are some alternative bubbles ready for your use:
Don’t worry about the size and direction, MobileSMS will automatically stretch and flip the bubble accordingly.
Images courtesy of Joshua Bryant