To set up Twilio CLI, register a phone number and send an SMS using the new number, you need to have a Twilio account and the Twilio CLI installed. You can get a free Twilio phone number as part of your trial account, which provides instant access to local, national, mobile, and toll-free phone numbers in over 100 countries with a developer-friendly API. To register a phone number, use the `twilio api:core:incoming-phone-numbers:create` command, and then verify that it has been successfully added to your account by sending a test message using the `twilio api:core:messages:create` command. With a trial account, you can only send messages to previously registered phone numbers. The Twilio CLI will use your stored credentials or prompt you for login information if they are not set as environment variables.