I got it to work easily last night!

I sent a few messages to Magnus (and Maximus I think). When you've both registered your friend codes on your DS, I think you have to "check your mail" through the MogHouse menu over WiFi. This then highlights the friend codes in your Address Book to white and ONLY IF both of you have added the other persons friend code to your address book. Once you've sent a message to that person, their "code" changes to their name in your address book.

So now I've got a mixture of:
greyed out codes (other person not input in their DS or registered they've put in my code)
white codes (we've both put in each others codes and checked mail on DS WiFi afterwards)
Friend Names (i.e. I've received a message from that person, which in turn registers their name on my DS Mognet Address Book!).

I'm sure SquareEnix could have made this easier!