Signing messages proves that the message you signed was not altered in any way and it proves that you own the private key to the public key to signed the message.
Here is a guide on how to sign messages:
https://bitcointalk.org/index.php?topic=990345.0If you sign your Bitcoin address will you be exposing your private key?
No. You will expose your public key, but that is already meant to be exposed (hence the public). The public key is also exposed when transactions are signed (transactions are signed in the exact same way that messages are signed).
Was just about to ask that, thanks for the info.