HTC One M9 - Manual (Page 113)

Preventing a message from being deleted
You can lock a message to prevent it from being deleted even if you delete the other messages in the
conversation.
1. Open the Messages app.
2. Tap a contact (or phone number) to display the exchange of messages with that contact.
3. Tap the message that you want to lock.
4. Tap Lock message on the options menu. A lock icon is displayed.
113 Messages