Go to the messages app, where you can see the list of all the conversations you have. Touch the menu button and go to settings. Scroll down and you will see the notifications options.
i use handcent sms.....in that app you open up someones thread and at the top right is two icons, a person and a phone. the person icon is the settings for that specific contact in handcent. you can set up a personalized ringtone, even a different color notification icon, etc.
where are the settings for the LED? i would like to change colors for each type of notification. Is this possible without using something like lightflow app?