When you delete a large thread, sometimes it looks like it is frozen, but you usually just have to wait. If it prompts you to force close or wait, just click wait, and it should eventually clear out.
As far as backup, I've been using SMS Backup, which automatically sends all SMS messages to GMail with an SMS tag. It is very convenient and easy to use. It is great to know that I have everything backed up online, and that I can delete all of my threads whenever I need to without losing any info.