Sometimes when you send SMS directly to mobile number via "New SMS" button available on SMS-Home tab or via apex API then you might not be able to track those messages from that record's related list "SMS History".

 If you want to update reference of that record on SMS History and you try doing the same from record detail page of that SMS History record, 

it will give you an error as below-:

So in such cases, you can use inline editing of list view to do the same.

E.g. if you want to update Lead reference on SMS History sent, you can follow below steps -:

You can goto SMS History record from SMS History List view, in which you want to update Lead reference (Make sure - your proflie have editable access to the field which you are trying to update here).

Click on Lead field directly to edit it for that record-:

Search for the Lead which you want to refer here -:

Click on "Save" to save the changes.After saving the changes, you will be able to see the Name of the Lead against that SMS History record.

Also you can track that outgoing SMS from "SMS History" related list of that Lead record.

I hope this helps.