You can save ALL of your private messages and free up space - space for PMs is limited to 50 messages total.

So it is a good idea if you do not want to delete some of them to archive them.

Go to My Controls and then at the messenger panel in the left choose Archive Messages. Choose how many to save and the type of the output file ( Excel or HTML ) and an e-mail will arrive shortly in your mailbox with all your messages.