You'll need to have a supported Windows 10 Preview mobile device, like a Lumia 650 or950, and activate the feature from your Microsoft account, as below. That will sync up messages on all your selected Windows 10 devices, so you can send and receive SMS messages without pulling out a phone.
In the same update, Microsoft has eliminated Skype Integration from Windows Mobile messaging in favor of an upcoming Universal Windows Platform (UWP) version of the app. Microsoft was originally keen to integrate the widely used video and voice chat app with Windows 10's messaging service, and released a preview late last year. However, it abandoned that idea last month, saying folks "want to eliminate app clutter," and removed integration from both mobile and desktop preview versions of Windows 10. It recently released a UWP preview for PCs, but mobile insiders who want Skype will need to use the existing Skype for Windows Phone app for now.
Meanwhile, Windows 10 preview desktop insiders just received an update to that very UWP version of Skype, bringing it more in line with the regular Windows app. It now has group features, letting you message, call or video chat with multiple folks. Other new features include the ability see multiple video callers at once, delete messages and mark any group as a favorite. As for the Skype UWP preview app on Windows 10 Mobile, Microsoft says it's coming "soon."