Probably the best thing to do to get started is to read some of the past postings on this subject out here.
Note that there are different formats for different mobiles. There is the Nokia format, the EMS format, and then you also have newer phones where you use WAP push to send links to MIDI files or other MIME type files.
Here are some threads that show up in a search, the quality of information varies quite a bit, but is still useful for background info: