You receive a text like this....
"This is a secure message from Abbey National. There has been some unusual activity on your account, please call our security team on 0845 123456"
You call the number and hear "Thank you for calling Abbey National, this call may be recorded for security and training purposes. We need to perform some security checks, please enter your card number followed by the hash key, please enter the 3 digit number on the back of your card followed by the hash key, please say your 'security' password......."
I think you get the idea.
The best way to protect yourself is to keep the real service numbers for your various accounts pre-programmed in your phone memory so if you receive a text you can call up the genuine security centre and validate (or not) the text.