According to the AT&T anti-spam FAQ (bit.ly/att-spam-guide), you can report spam text messages by sending the message to 7726 (SPAM).

The easiest way to send the message is to forward it. Start by tapping edit from the conversation screen.

Select the message and tap “Forward.”

In the “To:” field enter 7726. Since this recipient is an AT&T number, it is a free text.

AT&T will reply and ask you for the spammers phone number.

You can just type in the phone but it's faster to copy & paste it. To get to a copy-able field tap “Add Contact.” (don't worry we won't actually save it)

Select the phone number and copy it. I go ahead and save it to a contact named “Spam” and disable the alert sounds associated with this contact to minimize the annoyance if they spam me again.

Paste the number into the AT&T conversation. They will confirm that they got it and you are all set. I can't confirm that this is effective—but at least we are doing our part to help.