To mark all messages as read, at the bottom of the Conversation, tap <Number> Unread.
To mark a single message as read, tap the message.
Alternatively, tap under the message, then tap Mark as Read.
If you want a message status to be unread, but you've already marked it as read, you can return the message to unread by tapping under the message, then tapping Mark as Unread. This works only with messages others have posted and not your own posts.