With all of your private Facebook communication now happening in the Messages area, clutter can build up quickly. Looking at the list of messages you'll see an option next to each one for Archiving. Unfortunately, this doesn't actually delete the message, it just removes it from the main list. If you want to permanently delete a message, you have to open the thread, click a button at the top and then delete.
Instead of visiting each message thread, check out Facebook Fast Delete Messages, a handy extension for Google Chrome. Here's how to get started:
Step 1: Download a copy of the Facebook Fast Delete Messages extension.
Step 2: Log in to your Facebook account and head to the Messages area (you'll want to view them all at once).
Step 3: Click the small Red X next to each message to delete the entire thread without having to open it.
The only thing this extension is missing, as mentioned on Guiding Tech's coverage, is a confirmation pop-up for deletion. Additionally, a toggle for the confirmation dialog would be useful. However, this extension still makes message deletion faster than Facebook's method.