It doesn't matter where you save the file, but I don't like saving it to /usr/bin because it's a system folder (and would get lost with a reflash ).

You can save it to /home/user also, or you create /home/user/bin with:
for the chmod-command you have to change into the directory where the file is located and type:
'chmod u+x smsmodscript'
or, if you're in an other directory:
'chmod u+x /your/path/to/smsmodscript'

where 'smsmodscript' is the filename you've choosen for the script and which it was saved to...