The only way to delete multiple messages within a thread is to select the messages you want to keep and lock those particular ones (long press on message and select lock option). Having locked the ones you want to save, go to menu and select delete, you then are told this will delete all those except the locked ones.... voila....delete multiple messages

If this has helped hit the thanks button, its only small, but it means a lot ....

 

I use free application SMS Quick Delete, does exactly what you need, in the same way you delete multiple threads, plus it has some more fatures.