By default, iMessage saves every single photo you're sent (you can change this, of course), which is super handy, but also eats up a ton of space. It's easy enough to pop in and delete those photos one-by-one, but 9to5 Mac points out a somewhat hidden trick to selecting multiple photos at once.
All you need to do is open up a message thread, tap the Details button, then scroll down until you see your attachments. Tap and hold a photo, then tap the "More..." option. Now you can select multiple photos. Pick the ones you don't want anymore, then tap the trash can icon. It's a little bizarre that it's hidden away like this, but alas, if you want to select multiple photos in iMessages, this is your best bet. On the flip side, you can also use this same method to select multiple photos to save to your Camera Roll. Just tap "Save Images" instead of the trash can.