I didn't see it around and I thought it might be useful
So here we go:
1) First thing first, when you want to send to someone a "visitor message", you go to his profile and leave a message. Make sure the "visitor message" label is chosen.
NOTE: New members or members that still have the "newbie" status (written under their user name in the forum) will not have the option open untill they have the "member" status.
2) Now when you get a "visitor message" or a reply to your "visitor message", you have two ways to see it, either by looking at your profile or checking your notification line on the upper part of the page.
3) When you will see the message on your profile page and want to answer you will click on the "view conversation" option, near the message you want to answer to.
4) Make sure you reach the page where it clearly says "a conversation between ____ and You (your user name)".
The reason is that if you do not do that, it would be as if you posted on your own page. The others will not be notify by your answer and the reply will be posted on your page, not on their pages.
I hope it helps clear some things up