How to bend them? Tried adding Bend Object but it didn't work out.
There are a number of ways you can fail with deformers:
Deformers require segments to operate on. If you have only one segment along the straight parts between the curved bits of the mouth object, there is nothing for the deformer to bend. Think of the edges between points as infinitely stiff iron bars from a deformer's standpoint. What you want is a series of linked bars — multiple segments — not a single bar between the corners of the mouth. For a smooth curve, you need many segments.
Deformers only affect what is "inside" them. You want to put the deformer around the mouth as a "cage" before you start to bend it. For a task like this, you want it to be fairly tight around the source object, else you'll get a lot of distortion in the bend.
Deformers go below the object in the C4D object hierarchy, not above them. This may be confusing to you because objects like a Subdivision Surface go above the objects they affect instead. As a rule, green generators go above the object(s) they affect, and purple deformers go below. This difference is so you can stack them in combination.
As a bonus trap, the bend deformer operates from its base out to its top. You can't make a single Bend deformer affect something like your character's mouth symmetrically. You solve that by applying both a Bend deformer and a Symmetry object on the relaxed mouth shape, with the bend aligned with its base on the Y axis and its "top" pointing to the left corner of the mouth. By default, a Symmetry object operates on the ZY plane, which is exactly what we want here, since that creates a virtual second Bend deformer aligned the opposite direction, affecting the right side of the mouth symmetrically.
Notice that it's bent twice, once in the "Strength" direction and once in the "Angle" direction. The former bends the mouth corners up to make the smile, and the latter bends the corners inward to follow the curve of the head sphere.
Here's the result:
Now, that's fine as far as it goes, but it doesn't actually match the mouth shape in your source picture. I believe the first answer has the actual solution: instead of using a Bend deformer on a Boole'd capsule pair, you should sweep a circle along a sausage-shaped spline to form the mouth. That gets the proper curvature on the inner parts and avoids the need for the Deformer.
Another problem with this method is that I had to convert the Boolean'd relaxed mouth shape to a polygon object in order to get the bend deformer and symmetry object to apply to it. I couldn't get all of that working under a live Boole generator.
However, I thought I'd try a third method using R20's Volume Builder instead. It's still not quite the same, but it's closer:
It's done with a concave wedge shaped cutter and a capsule, both still parametric. This gives a similar curvature on the inside of the lip area to what your source picture shows.