Mobile App
1) While in a chat thread, tap and hold the message that you want to delete.
2) A pop-up will give you the option to "Reply", "Copy Message", or "Delete for All". Select "Delete for All".
3) You will now see a bubble that says "You removed a message" where your original message was.
Web
1) While in a thread, hover your mouse over the message that you wish to delete.
2) Click on the three dots that appear next to your message, and then click "Remove".
3) Your message is now deleted!