Recently needing to do this, I came across this very helpful table courtesy of Money Saving Expert.
If you receive a spam text message, all you need do is forward it to the relevant number, making for a wonderfully simple and quick way of reporting it and so doing your bit to help tackle text messaging spam:
|Network||What to do?|
|O2||Forward message to 7726|
|Vodafone||Forward message to 87726|
|Orange||Forward message to 7726|
|T-Mobile||Forward message to 7726|
|Three||Forward message to 37726|
It also makes sense to report spam SMS to the Information Commissioner too, which you can do quickly and easily online.