wow good question! I don't use that feature but i just checked it out and can see what you mean and why that would be a pain. I just tried every way from Sunday to get it to do what you want and could not figure it out.
It may seem weird to have to do such a thing for a feature you might consider basic but maybe check out handcent or chompsms. Both are sms/mms replacements that are free in the market. Both offer a much larger feature set than the stock messenger. I cannot say if either of these do group messaging better, but they are worth a shot and you cant be free.