I read that is not possible to delete sent messages in Facebook here:How can I delete Facebook messages sent to other users?, but an answer there says that there's a work around like this: "mark the message as Spam or Abuse (in Actions), then delete it from your messages, and disable/deactivate your account".
I tried this but there's not a option to mark my own messages as spam, when I go to the all-chats interface, when I select a conversation with a friend there's a action menu that let me mark "something" as spam (I believe that's the whole conversation that's fine by me) but I don't know if this would work since I believe that I would be marking as spam their messages and not mine, so if I press that button I think that I would be marking their messages as spam so they would be still able to watch and read my messages.
So how this work-around works if I can't mark my own messages as spam before deleting them. I know that this trick work since I have a few conversation when a yellow rectangle appears instead of my friend messages saying that the messages was marked as spam even knowing that I didn't marked their messages as spam.