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After a friend had a similar problem, I wrote an app to help with deleting.
An android device with around 5,000 messages takes about 7 seconds to delete a single message. Deleting a conversation of over 100 messages will take around 10 minutes and there is no visual feedback.
I've written an app to help keep message numbers at manageable level.
Basically, you specify a time period, for example 1 month, and the app will delete all messages that are over 1 month old.
There is visual feedback of the process - so you know the phone is actually deleting the messages rather than hanging / force close.
The app can take a while to complete, but will make your messaging app so much more responsive.
The app is called "Delete old messages" from JADS Limited.
Its on the android market free of charge.
Hope it helps,
Mike
JADS Limited.

and am having the same problem i am a huge texter.. 3k in one day.
normally i delete once they get to 400 per thread.. this time i was too busy and didnt. every time i tried to delete any thread i would get a force close pop up. finally after trying seven times i took my battery out for 20 min.. tried it again and it worked just fine.


. My longest thread took 20-30 minutes. Every other method I tried froze up the phone....this way worked, so I'm sticking to it.so im a pretty private guy and i hate when my girl reads my texts i send and recive. with old phones id just delete my messages. but with my hero i cant delete messages in chompSMS nor the normal messagner app. ill hold down my finger and press delete and it just doesnt delete anything and most of the time crashes my phone and i have to reset my phone. this is VERY annoying because when she grabs my phone i have to fight to get my phone back so she doesnt see any of my texts that i CANT delete ! helppp !