Apple has released an update (OS 3.0.1) through iTunes to patch this vulnerability.  Unfortunately, because iTunes checks for updates on a weekly basis, you’ll need to manually tell iTunes to check for new updates in order to get it.  This can be done by clicking the “Check for Update” button on the Summary page for your phone in iTunes.

It should be noted that while the vulnerability on the iPhone has drawn most of the attention from the news media, the vulnerability is not limited to the iPhone and is actually related to the way SMS is implemented.  Other phones (I’m looking at you, Windows Mobile) could be vulnerable as well.