Instead of deleting one messages at a time, you can delete all selected messages at a time.
If you are using Chrome browser just follow steps ......
There is a handy extension for Google Chrome.
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
Step 3: Click the small Red X next to each message to delete the entire thread without having to open it.
After installing the extension your facebook messages will look like this
This extension still makes message deletion faster than Facebook's method.