When you delete Facebook Messages from your own account they will only be deleted permanently in your account. In other words, the Messages will still be visiable in the other recipients friends Facebook Messages account. Only if both (or all) friends delete the messages will the messages be permanently deleted.
Note: When deleting a message, you will get one chance to undo the deletion (Immediately after you click delete). So just in case you did not actually want to delete a message you can undo the delete at that time. But after that, once the message is deleted there is no way to recover the message from Facebook, unless you contact your Friend who you sent the message to (or sent the message to you), and ask them to resend the message(s) or have them copy the message(s) and email them to you.
If you have Facebook Messages that are important to you, then you should definitely make a copy of them and save them to a Word document (or printing them out), so you can be sure to never lose the message.