Hello,
Thank you for your question.
All of the SMS commands with detailed description for FM devices can be found in our wikipage:
https://wiki.teltonika.lt/view/FMB630_SMS/GPRS_command_list
In order to change APN for a device you should be using SMS command format:
<SMS login><space><SMS password><space><command><space><value>
In case of setting up APN parameter (if no SMS Login, SMS Password is used):
<space><space>setparam<space>240<space><value>
Please note that some of parameter IDs may be different on older firmware version. If you have any troubles configuring your device via SMS message, please provide type of your device and firmware version you are using.
If you have any further questions please feel free to ask.
Best regards.