When I first got my Galaxy, it was my first Android device, so I went into the settings and checked every menu just to find how to put SMS notifications on vibrate...
I figured it out a short while after, but for such an important setting, it should be easier to find (had to press menu in the Messaging application and select settings there, it's been posted by Rastaman already).
And I got owned recently again, because I set the Messening application to remind me of a new SMS every 2 minutes, so it vibrates every two mins until I read it. I had a three hours exam a few days ago, so on the homescreen, instead of selecting vibrate as I usually do (for calls), I put it on mute, thinking that it would do the same for my SMS notifications.....
Of course it didn't, and of course I received a message within the ten first minutes of my exam... So yeah, my phone vibrated about 90 times in my pocket, every 2 minutes.
In short, the ringer volume button should also control the SMS notifications behavior, in my opinion.