My bad. Go into your Messaging application, press the menu button, and choose Settings in the lower right. The settings you'll likely be most concerned with are at the top, under Storage settings.
Also per the PM you sent me, you don't have to delete messages one by one.
-If you simply want to delete every conversation, go into the Messaging app, press Menu and choose Delete threads.
-If you want to delete only one conversation, go into the Messaging app, press and hold on the conversation and choose Delete thread and that will delete all messages inside of it.
-If you're only wanting to delete certain messages within the conversation, go into one of the conversations, and long press on any messages you want to keep, and choose Lock message. You can do this with multiple messages, and then delete the thread and it will wipe out everything in that conversation but the ones that are locked.