Is there a problem with the My O2 updating at the moment? When I look at "Recent charges > What I've Used > text messages" it has not updated for about 3 days, usually it updates within 12 hours.
When you see the SMS, click 'Total Cost Of Sms' at the bottom to view the itemised billing for it and scroll through the pages. There should be a button that says 'Last' which will take you to the most recent texts.
