I am assuming you are using Verizon's Message+. Unfortunately, you can not select all to save your text'ed pictures. When you open Message+, from your 'all' conversation view, you select Pictures and Videos at the top. All your embedded pictures are displayed. By each picture, select the 3 dots to choose save, then 3 dots to delete. If the picture says 'Me', you sent that pictures so no need to save that one, just delete; save the pictures other people have sent you. It's at least better than searching long individual conversations, looking for the picture, long press to save, then long press to delete said picture.