Keep in mind that deleted messages are deleted just for you and they will not be removed from the history of the other profile.
To delete a message, open the chat (chat-bubble, top-right) » select the conversation » select the message » then 'Delete'.
To delete the entire chat history » open the chat (chat-bubble, top-right), select the conversation, click on the three dots (top-left) and select "Delete". Please keep in mind that when deleting the entire chat history, any of your saved messages will also be deleted. Deleted messages can't be restored.