Try sigining out of Messages in Settings>Messages>Off. Then turn it on again and try again. When I set it up I couldnt find the code either, but when I launched the Messages app it appeared in there. Apple is as clear as mud in this kb article as to where the code will appear on the device.
Just to be sur, double check.
To use Continuity for SMS and MMS with your iPhone and your Mac, iPad or iPod touch
- Your iPhone, iPad, and iPod touch need to use iOS 8.1, and your Mac needs to use OS X Yosemite.
- Sign in to iMessage on your iPhone, your other iOS devices, and your Mac using the same Apple ID.
- On your iPhone:
- Go to Settings > Messages > Send & Receive > You Can Be Reached By, and add a check to both your phone number and email address.
- Go to Messages > Text Message Forwarding, and enable the device(s) you would like to forward messages to.
- Your Mac, iPad, or iPod touch will display a code. Enter this code on your iPhone to verify the SMS feature.
Thanks Apple, where does the code appear?