How do these work?  I've sent one to both Smug & Norm, but am not sure if I've done it corretly?!

I'm presuming only these people can see the messages?

The Private messages section is like a whole other forum section where threads are only viewable by the person who started it and the person it is sent to, in all other ways I can think of it acts exactly like a forum thread, like with use of smilies and so on.
When you have a new Private message you should get a little popup message when you arrive here and the Private Messages text should show up RED.
If members don't come here often you won't get a reply often as you might like, if a member doesn't notice that he has a new message you won't get a reply until he does.