You cant on the stock messaging app, Download ChompSMS or Handcent SMS, They both allow you to add signatures and are better messaging apps then the stock one.
I totally agree with you stillabeeliever,!!! I thought it was just me while trying to figure out how to add a signature.!!!! The info He provided not only was it helpful, but beneficial as well.!!! I love this app, thanks a bunch.!!! 😉