On Marketing > SMS > Contacts open the Contacts tab. Click New Contact, fill Name, Contact (phone number) and set Receive SMS? (on by default), then Save; both name and number are required ("Name empty" / "Contact empty"). Click a contact's ID or name to edit it; use Delete on the edit page ("Are you sure you want to delete this contact?") or tick several rows in the list and use the bulk delete. Deleting a contact removes it from every list. When you switch Receive SMS? off, the contact is skipped in list sends.