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If you want to delete a text message without opening/reading it, then open Messages, tap and hold down that message and select Delete from the resulting menu. This will delete that entire conversation.
If you want to delete individual message in a thread, open Messages, open the conversation, tap and hold the message you want to delete and tap Delete message. Or tap the message you want to delete, tap the options (3 dots) and tap Delete message > Delete by selection. Select and delete.
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