Aileen:
Do you currently run any other messaging support system (i.e. handcent)? If so, check the settings within there first.
For handcent: Go to Settings within handcent>Notification Settings> Notification Settings (again)> Under Vibrate Settings select Vibrate and the pattern you want.
In order for this to work, your phone must not be in silent mode.
Next step, check the phone settings:
Settings> Sound Settings> Vibrate> (I change this to only when not in silent mode), but you can set to your preference.
Also, you need to make sure that if you're using handcent as your preferred messaging system that you remove any notification alerts from the messaging system provided with the phone.
Hope this helps...if you have any questions, let me know...I went through this whole ordeal a while back