Giok: I just checked, and on my archive of personal messages, there's a "delete" link in the far right column of the list. That means you can delete the messages one at a time, but this could be a tedious process for those who have a lot of messages. As far as I know, there's no way to purge a whole bunch of messages at once.

By the way, is "Well, I'll go to the foot of our stairs!" a folk expression of some sort? I've never encountered it before.