To archive messages, download Google's Messages app at [link|https://play.google.com/store/apps/details?id=com.google.android.apps.messaging|https://play.google.com/store/apps/details?id=com.google.android.apps.messaging|new_window=true]
Then, select a message thread, tap the 3 "menu" dots at the top right corner, and select "Archive."
Google's Messages app has more features than Samsung's Messages app, and can be easier to use.