I found it much easier to sort out my contacts using gmail rather than on my phone. Then using the phone, link the contacts to facebook so that profile pics are pulled across.

If you create a group called 'favourites' in your gmail contacts, then when you create the people widget on your phone set it to use 'favourites'.

I actually prefer to use inividual shortcuts rather than the people widget, just something about that widget that I don't like, can't put my finger on it. If you want to do this, just click on the + button > shortcut > person. I have about a dozen on one home screen and it looks much cleaner than the people widget in my opinion.

 

On the phone, take a picture then tap on it once it comes up in the bottom right corner, then press menu > set as > contact icon. Or you can go to the contact, tap on edit contact, then tap on the little camera icon in the top left. You should be able to select pictures, either ones you've taken with the phone or ones you've loaded from your computer.

If you use facebook you can go to the contact then click on link in top right corner and link to facebook, sometimes it'll do it for you but sometimes you have to select the right person from you facebook contacts. It'll then use their facebook profile picture. Pretty neat.

By messages program do you mean the widget? I just use the messages program and I've not had any problems.