If my phone is lost and locked, how will someone know how to contact me?

My iPhone 4S is currently in someone else's hands. I can see it with Find My Phone. I have sent a number of messages to the phone in the hope that whoever has it will return it. But since the phone is locked, does that mean I have to include contact information in the messages I send? Or is there some information in the message that lets this culprit know how to get in touch?

While the phone is locked with a passcode, the only way someone could find the device's identity is to use a paperclip to remove the SIM tray. There the serial number and IMEI are printed on the tray. Also the ICCID (your SIM number) may be visible as well.

At that point, the finder could potentially reach out to Apple and/or your carrier that both presumably have some form of contact information to reach you - but your best bet is to send a message to the device with your contact information.

Unless you want to call your phone and hope someone answers. That also could place some contact information on the lock screen depending on your settings.

If your phone is already lost then the message you send via Find My Phone needs to include a number to call or other contact information.

It's best to prepare ahead of time by including contact information on your lock screen. In fact, it's even better to include emergency contact info, so that in case you are involved in an accident, emergency services personnel can easily look at your iPhone and call your emergency contact. (Yes, they check your phone for just that purpose.)

There is was a convenient and free app called If Found that makes such a lock screen image for you, but it, along with If Found, Please have been taken down. There are a few $0.99 apps that still do it. If someone knows of a free one, please edit this answer to include it here.