You CAN set individual sounds for contacts in Messages + - from within the messages + app. Open the app, and find a message thread with that contact. Tap the three bars in the top right corner, then Customization. You will see your default text message tone, but when you tap in from within that contact's thread, it will change it to whatever tone you want for that contact, without affecting the default for all the rest.
Hmmm, I don't delete entire conversations, so this hasn't happened to me. I've set a limit of a couple hundred messages per conversation, and the oldest ones get auto deleted; I like referring back to messages now and then.