Responding to spam at all lets the spammer know that they've got a "live one" on the other end of the email/phone.
Not true for SMS. Basically all SMS gateways provide some form of delivery receipt, which are automatically sent to notify of successful delivery of a message.
Answer your "What is your shoe size?" security question...
That's a pretty poor security question :)
Steal your shoes.
Personally I'd not reply because I'd be worried it would subscribe me to a premium-rate text service.