A: It's easy, just create TGSM instance for each modem.

TMyModule = class(TDataModule)
private
  fMyModems: array[1..MaxModems] of TGSM;
  procedure OnReceiveSMS(Sender.......)
public
  constructor Create()...
end;

//and create it in

constructor TMyModule.Create;
var
  I: integer;
begin
  for I:= Low(fMyModems) to High(fMyModems) do
  begin
    fMyModems[i]:= TGSM.Create(Self);
    fMyModems[i].ComDevice:= TComm.Create(fMyModems[I]);
    fMyModems[i].OnReceiveSMS := OnReceiveSMS;
    fMyModems[i].OnRxChar:= ....
  end;
end;

procedure TMyModule.OnReceiveSMS(Sender: TObject, ....);
begin
  TGSM(Sender)  is class instance that holds reference to a fMyModem
end;