A nice tutorial is posted here by some gentlemen for new blockchain wallet : https://bitcointalk.org/index.php?topic=1467458.0

Blockchain.info v2 2016.05.11
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Update (2016.5.11): It is now possible to sign messages with imported private keys.
Th0ur007 wrote a step by step here -> https://bitcointalk.org/index.php?topic=1467458

Note: Blockchain.info's new wallet does not allow you to sign a message, nor does it allow you to easily export the private key in order to sign with a different wallet. There is a crude work around here -> https://docs.google.com/document/d/1-2l6xOqcbjs9QWEqSh72RD1d8EEdvG_hQuEXw_f_o6w/edit
Use at your own risk!