Click on your messaging icon, and when your list of messages show up, tap the soft key at the bottom (looks like several lines). Then click on Settings then at the bottom is the option for vibrate for texts. It took me a while to find it too, a lil' confusing. Hope this helps!
Handcent SMS is excellent, has vibrate, beeps, blinking lights and pop up notification with quicky reply and lots of options. Also has a reminder so you can set it to keep notifing you until you read your text.
You will want to turn off your notification alert for the text app that came in android so you don't get double notifications.