Dan Benjamin at Hivelogic wrote a nice article about effectively using your "Away" message when instant messaging.
Here's two other things that I think is necessary for efficient IM communications
Ask Your Question, Don't Ask to Ask
Don't say hello and wait for someone to respond; just ask your question. Don't ever say "Hey, are you there?" or "Hey, can I ask you a question?" -- just ask it.
Bob: Hey Adam?
[time lapse of 2 hours]
Adam: Sorry, what did you want?
[Bob is now AFK, time lapse of another hour.]
Bob: Hey, I was wondering how big the Gear chapter was?
Adam: It's 62 pages. [Total time lapse of 3 hours]
Bob: Hey Adam, I need to know how big the gear chapter is.
[time lapse of 2 hours]
Adam: It's 62 pages. [No matter how long the time lapse is here before Bob reads my IM, I've fulfilled my commitment.]
Situation 2 is far preferable. If you know that the person isn't available, you may be better off sending an email or posting to whatever project management software you use -- but simply saying "hello" does not get work finished, no matter what communications tool you're using.
Use Auto-Away Sparingly
Some IM clients will set you as "automatically away" if you are idle for more than a certain period of user-definable time. In practice, I think this feature doesn't work, especially when the time is set low, as the defaults often are. I notice that a lot of people, even when they're working or otherwise busy, will notice that their IM client has set them to auto-away and instantly fiddle with their IM client to reset their status to Available -- resulting in the user "bouncing" around their friend's buddy lists.
If you want to use auto-away, I suggest setting it to a high value: at least an hour. That way it will work for you when you've been caught up in a long phone call or you fell asleep or got kidnapped by friends [or aliens!], but it won't get triggered when you're simply busy working.
Turn Your IM Client Off
I should probably do this more, at least with my business-related accounts: if you're going to be unavailable on IM for a period of time that is extreme [such as an entire daytime period during your co-worker's workday] -- turn your IM client right off. Seeing things like "(1d) Away" in my buddy list just frustrates me, like those people are wasting my screen real estate. I sort these people into a custom group, "Idlers," and minimize that group so I never see them unless I'm specifically looking for them.