lol yeah they sure do tweet back on twitter :) by the blue button on the top (where you can write a tweet) There's a button to the left with the outline of a person, click it, then click direct messages, then type in the username. but in order to DM (direct message) someone, you have to be following each other.
To send messages on Twitter, you simply select the person you want to send it to and compose the message. When done, you select the option to update and the message will be sent. To retrieve messages, you select the messages tab or icon and they will be displayed. Celebrities do tweet back as they are active on the site.