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How to Send a Direct Message From Your Phone and Apps:
In addition to sending direct messages from the web, you can also send direct messages from:
Me: Your Profile, Direct Messages, Lists, Favorites, and more!
The Me tab (pictured below) is where you can access your Profile, Direct Messages, Lists, Favorites, Saved Searches and Account Settings.
Direct Messages (DMs)
When the the Me tab has a blue glow under it, it means that you have a new Direct Message waiting for you.
Tap Direct Messages to access your sent and recieved DMs.
To respond to a DM, tap the username of the sender to open the conversation thread and type your message in the text box at the bottom of the page.
To compose a new DM, tap the compose message icon (looks like a pen and a pad of paper) in the upper right corner of the screen.
To delete a DM conversation, tap the arrow icon at the top right of the page and then select Delete conversation.
To learn more about DMs, check out this handy article.