I am working on sms controlling of device i need to interface GSm device to 8051, which GSM modem i should use for the same and how should i make connections
The answer, of course, is "whichever best fits your specific requirements and constraints".
Since you haven't given any details whatsoever of your specific requirements and constraints, it is impossible to make any recommendation!
Absolutely any GSM modem or module will support SMS!
You will need one that supports the frequency band(s) used by your target networks.
"how should i make connections"
Do whatever the Manual for the chosen module or modem tells you!
Pay particular attention to any specific requirements for the modem control lines.
If it's a true Modem, it will have an RS232 interface - so you will need an RS232 transceiver (MAX232, etc); If it's just a module it will most likely use some sort of "logic-level" signals, but they might not be standard 3V or 5V - be sure to check the manual carefully!
Remember that the fact you're using an 8051 is entirely irrelevant to the modem or module.
Take a look at Wavecom: their "Open-AT" allows you to embed your application directly into the modem or module - without the need for a separate, external controller: http://www.wavecom.com/openat
Or Telit have a module with an embedded ARM processor exclusively dedicated to customer applications: www.telit.com/.../gsm-gprs.php