In Pulse SMS, you archive entire conversations, not individual messages. At default, you can swipe any conversation to send it to the archive, or long-press that conversation and hit the archive button on the top right of the screen.
To move an archived conversation back to the inbox/Conversation list, swipe it from left to right in the "Archived conversations" section found in the app's side menu. Archived conversations will automatically get moved out of the archive if a new message is received to that conversation.