Welcome to Android Forums. Sorry for the delay in responding to your question.
After you open up the messaging app, select the Settings key to bring up the apps settings menu.
Delete Threads should be one of the options. You can also long press on the actual message thread to bring up the delete option.
Go to the Settings option for txt message limits and multimedia limits.
For more info and specific phone support, go to your phones specific forum here at Android Forums.
Hope this has helped.
AndyOpie150