Check out either Handcent or Chompsms. Those 2 messaging apps will give you the options you are looking for. You'll just have to go through one of those apps and look for what you need. I use Chompsms and love it. It has all kinds of ways to theme it and modify options.
What is the specific things you are wanting to do with the messages? Let me know and I'll see if I can give you a step by step tutorial on how to do it. Please be specific with your questions.
I'm looking to change a style visual display of threaded sms/mms
something like this:
Just checked Chompsms, looks pretty good, still need to "play" with settings,
but still cant find my answer how to "reply all" to iPhone MMS's