Note: Data retention for certain services may be affected by recent legal developments – please see our blog post for more details.
First, open the menu (via the two lines in the top-left corner). Find the chat in your history, then press and hold the conversation title. You'll see a pop-up with an option to 'Delete' in red at the bottom. Click the Delete option.
Please note, that deletions are irreversible - so use with caution!