Thank you for your inquiry. Are you using Outlook when sending a text message? If so, select the red bold exclamation mark that is titled "Importance: High". I tested this my self and it was delivered to my device (BlackBerry) as an urgent text message with a red exclamation mark. I also tested it by sending it to an iPhone and it was delivered; however, it did not indicate that it was urgent although I selected the Importance High option. I also tested it with a Droid device and the urgent indicator appeared.
If you are not using Outlook, check with the e-mail carrier if there is a urgent delivery method.