Just posted this on the other thread that you mentioned this on, so copied it over...
The phones have conversation style texting, so you only have one thread per contact so you can follow your conversation easily rather than having to flick between sent and received. My previous phone was a C902 as well, but I won't be going back anytime soon. Give yourself some time to get used to it. Also you could try using the Handcent SMS app which in my opinion looks better than the stock app.
To delete a text just long press on the screen over the text that you want to get rid of and you should then get a pop up menu giving delete as an option.
Hope it helps. If you have any other queries please ask!