Microsoft have officially acknowledged ,that they are aware of the possible SMS attack ,that can lock the Windows Phone 7.5-Mango due to the flaw in the operating system.
As a Windows Phone user ,you don’t need to panic as it is not a very serious security threat ,the attackers can send you a sms and lock the phone ,that’s all . Microsoft is working faster to bring the firmware update to rectify the matter . The new Firmware update/patch for the windows phone should be available within couple of days and most probably available over the air this time.
The video here demonstrates how an attack can take place .