do you really want the return character directly after the entered text?
Anyway, you can use something like this (quote is a “shortcut” for ASCII character 34)
set pinenter to text returned of (display dialog "Please enter the Pin..." buttons {"Cancel", "Proceed"} default button 2 default answer "")
set pass to "at+cpin=" & quote & pinenter & quote & return
display dialog pass
set az to ASCII character 34
set theAnswer to text returned of (display dialog "Please insert the Pin..." buttons {"Cancel", "Proceed"} default answer "") & return
set pinenter to theAnswer
set pin to serialport open modem
set pass to "at+cpin=" & az & pinenter & az & " " & return
serialport write pass to modem
display dialog pass
delay 3
serialport close modem