7726 Spam Reporter allows you report spam SMS messages. It reports the spam message and who it's from to the 7726 (SPAM) address that many network provider provide for free, allowing them to block spam at it's source.
To report an SMS message as spam, either select it from the application, or use the Share option in your default SMS application.
If your operator doesn't use 7726, no problem, you can change the number in the settings.
Note, in Android 4.2 and later, it warns you that sending to any short SMS number (such as 7726) can incur premium rate SMS charges. SMS to 7726 is free on most providers - check with yours if you aren't sure.