I just highlight the last day at the very top of my screen (todays date), then BB button, delete prior, bada bing. However I have it setup to where my phone only stores messages for 15 days, so it's on a cycle that fits me.
touch the top message and then the last message you want to delete at the same time, THEN press the blackberry button and select delete. But of course you need to buy a Storm first. Actually the trackball or wheel work nicely too.
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