Some third party message apps, such as Handcent (and I think Chomp) allow you to limit the number of messages in each conversation, so that they will keep only the most recent 200 say in each thread (you can set the limit yourself, or turn it off).
Or on many phones you can select an entire conversation (long press to select) and delete all messages in it.
There are also apps in the Play Store which will let you back up your messages, if you wish to, before deleting.