If your mobile device is connected to your Twitter account, you'll see options to change your Mobile notifications preferences (shown below).
Click on the box next to the mobile notifications you want to receive and/or turn off.
Click Save changes at the bottom of the page.
Note: These settings are different than mobile sleep settings, which are used to automatically turn off all mobile updates during certain hours of the day.
How to change mobile update preferences via SMS:
To change your mobile update preferences from your phone, send a text message with the word ON or OFF to your Twitter code.
If you're using a two-way short code, Twitter will reply to let you know your preferences have been changed (as shown below).
Text OFF if you do not want to recieve any messages from Twitter via SMS.
Text OFF, then text Set messages on if you do not want to receive Tweets via SMS, but would still like to receive direct message notifications.
Text ON to turn all updates back on once they've been turned off.