Private Messages- - - How do you deal with them?

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Hello I signed in today after a long time and see that I have a bundle of private messages that I would like to delete. Earlier, I used to delete messages that I thought must be immidiately deleted but kept others. How do you deal with them: Do you keep them all or do you delete right away or do you do like I used to do? Can anyone please tell me how to delete all messages in a shortest possible time, a single click option would be even better? Thanks