Become a MacRumors Supporter for $50/year with no ads, ability to filter front page stories, and private forums.
Yeah, no need to do it message by message, but you'd need to do it conversation by conversation.
 
Yeah, not sure if you need clarification, but just slide the conversation to the left (from the list of all conversations) and it will reveal a delete button. Click that, and you're done.
 
Register on MacRumors! This sidebar will go away, and you'll see fewer ads.