Using GSM shield to send text messages from a alarm system

Where can I get a good GSM shield (I'm in the UK)?

Ebay!

I have not long moved into a new house and I'm starting to fit an alarm system.
I have noticed the main panel has got a few relay outputs, including one for the alarm condition.
I was hoping to be able to use an arduino with a GSM shield to send me and my girlfriend a text message if the alarm condition has activated.

This doesn't sound too hard... Wire up the relay contacts in the same way you would wire up a normal switch (only the relay does the equivalent of pressing the button), read the state of the input it's connected to, then send a text if it is high.
Personally, I'd be very careful when playing with a securiy system. Unless you're absolutely sure about what you're doing, the results could be very dodgy. On the other hand, if you are sure, you could end up with a very useful system indeed!

Onions.