Unless you have a jailbroken iPhone you cannot automatically add a signature to your SMS/TXT Messages when sending from an iPhone.
However, there is a nice workaround for this in iOS5 using Shortcuts.
To insert a Signature to your iPhone SMS or TXT messages go to:
Add New Shortcut
Enter the text you want to appear as your Signature – Such as Sent from my iPhone, then enter the Shortcut you wish to use, such as ‘Sig’ (without the quotes)
Now whenever you enter the letters Sig your phrase will appear. Cool huh?!