I found it. My bad assumption was that sms message can contain CrLf within. This is not true (at least for uBlox SARA-G350). All CrLf within some text received from module are replaced to Lf.
Thanks to that I can know that end of sentence will be when one of the next combinations arrives:
<CR><LF>OK<CR><LF>
<CR><LF>ERROR<CR><LF>
<CR><LF> >
The last one is prompt sign for sms sending command.