hey guys, i've been having the same problem. it's a pain in the butt to say the least. i just google'd it and found on another forum that there's an app in the market called "sms quick delete" that can be used for this. i'm in the process of using it right now, so i'm not promising it works.. but it's worth a shot? i think it still takes several minutes to delete but on my eris with the normal messaging app, mine wouldn't delete at all soo i think this is a better deal. (if it works, that is.)
i'll let y'all know if it works on my phone and if anyone else tries it, let me know if it works on yours?