This is how it works on the big X10 - when you go to compose a message, press and hold the text input area (or the 123 button) until the option to change the Input Method pops up. Select Input Method and select 'Chinese keyboard'. There are various input methods within that, including PinYin.
If you have access to the Android market, you might also want to see if there are any other Chinese input keyboards you want. I have one called HanWriting IME, because it has Chinese handwriting recognition, which I wanted to try out with Japanese kanji. I never use it, but it might be useful to you, and it's free, so might be worth looking at, to see if you prefer that to the stock Chinese keyboard...
