I am using the following Arduino shield to interface with the XBee.
Which position is the switch in?
I based this off the example code found on the arduino site for the shield.
I can't imagine why you thought that the code for talking (transparently) to another Arduino (through properly configured XBee series 1 modules) would be useful for talking TO a GPRS chip.
I am successfully sending SMS using XCTU as described in the guide below.
So, you thought you'd try something completely different, when the Arduino is sending the commands, and somehow, magically, that would work just as well. I can't imagine why.