You will not see a rate limit message per se. You will get a message reporting how many tweets you have missed. Here is the relevant doc. Basically, when your filter would be returning more than 1% of the total stream, but Twitter is removing tweets from your stream to keep you under 1%, your stream will receive a LIMIT message with the total number of tweets missed since your stream was open.
If you are not seeing the LIMIT message, either: 1) Your filter is not exceeding the 1% cutoff, or 2) something is wrong with your code. If you are not sure, you can try posting your request here and see if you get a response.
Note: the limit number is not accurate. See this thread.