Open the conversation thread with a contact, tap the message, and then tap Delete message.
To delete multiple messages within a conversation, tap > Delete messages > Delete by selection, and then select the messages to delete.
Press and hold a contact (or phone number), and then tap Delete.
To delete multiple conversations, tap > Delete threads, and then select the conversations to delete.
You can lock a message to prevent it from being deleted even if you delete the other messages in the conversation.