Twilio allows users to send SMS messages without a phone number using Alphanumeric Sender IDs, which have benefits such as instant identification by name and support across many countries. However, there are drawbacks, including inability for recipients to reply and need for alternative opt-out methods. To set up an alphanumeric sender ID with Twilio in Ruby, users need to create a Messaging Service, add the sender ID, and configure integration settings. The process involves creating a new Ruby project, installing required gems, setting up credentials, and writing code to send a message using the Alphanumeric Sender ID. With this setup, users can successfully send messages from their alphanumeric sender ID, demonstrating its potential for one-way messaging use cases.