If you are in India, I'm not sure that dolphin is a supported Apple carrier. I think there are a couple of phone companies in India that officially support the iPhone and not sure that dolphin is one of them.
You can easily check your settings by opening settings and going to General and looking there to see if the settings are correct, but ultimately, sending and receiving of text messages is to do with your phone company and not Apple, so continue with your phone company until they can resolve the issues for you.
Either that, or take your phone into an Apple store or an Apple re-seller and get them to take a look at it for you and check the settings to ensure that they are correct.