Yeah, we've been there too!
You can easily delete a message within a conversation or an entire conversation:
To delete one message within a conversation:
1. Tap and hold the picture of your friend next to the message you want to delete,
2. Tap "Delete Message".
To delete an entire conversation :
From the list of all conversations,
1. Swipe your finger from right to left on the message to delete
2. Tape "Delete"