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Have the list of incoming messages in front of you. At the far right had side is a small box on each line. Click on the ones you don't want, and a check mark will appear.
Down at the bottom right it will say "Move to..." There is a small triangle there, click on that and instead of "Move to", select "Delete". Click on that and you will purge them.
Then up at the top center select "sent messages" and repeat.
I may not have everything exact but hopefully that will get you there.