How to send a sms with a Sony Ericsson phone

Let me suggest to connect direct to pins 0 and 1 instead.
Then try below code and see if you get a reply OK from the phone.

void setup() {

  Serial.begin(9600);
  delay(3000);

}

void loop() {

  Serial.println("AT"); //Asking the phone if the connection is working
  delay(3000);

  if (phone.available()) {
      Serial.print((char)phone.read());
  }
  if (Serial.available()) {
      phone.print((char)Serial.read());
  }
}