Using YITH WooCommerce Custom Order Status, you can create custom statuses you can then assign to orders in your shop. You may also edit the default WooCommerce ones.
The integration with YITH WooCommerce SMS Notifications allows you to enable the SMS notifications also for all the order statuses you have created.
After installing and activating both plugins, you need to create your custom order statuses from WP Dashboard->Order Status.
For further details about YITH WooCommerce Custom Order Status, please refer to the official documentation.