@tdavis42: Why so defensive? There is nothing wrong with someone joining a forum to add to a discussion. When someone has a problem with their phone, it's helpful when others chime in with the same problem. To me, it sounded like just because he favors the iPhone, you consider him a crybaby. I didn't see that - I saw someone with a problem that he didn't know how to fix. Relax, man.
Back on topic... I do agree that there should be an auto-delete. My previous phone (Moto RAZR2) always auto-deleted my sent messages at around 400 or so (deleted oldest ones, except pics), but it only allowed me to have just over 100 in my inbox before it was full and wouldn't accept any more (that was annoying!). Anyway, to my point... When I'd delete my "sent" messages, 400+ or so, it would take a longgggg time. You just had to let it go. So I think people shouldn't expect their 500+ threads to be deleted in 2 seconds. It takes time for some reason.
I haven't run into this problem yet on my Eris. The largest thread I deleted was 300-something I think, and it did take a bit of time. I did a long-press then delete on the thread. Strangely though, it let me exit the Messages app. If I opened it again, it wouldn't let me do anything (I assumed because it was still deleting stuff). A few minutes later, I checked again and I was able to use my messages just fine.
If I do run into this problem, I'll try that app that was suggested. However, I do think that the suggestion that was posted by inothome above sounds like it would work, based on what I experienced with my threads.