The iPhone's built-in SMS application does not allow you to delete a single SMS message, you can only delete a whole conversation/chat/discussion, which is something you don't generally want. To delete an individual message install WeTool through the Installer module, and launch it. Now go to the "Text Log" view, click the Delete button on the top-left corner, click the Stop symbol on the left side of the message you want to delete, and finally click the Delete button on the right side.