Welcome to iMore! Wow, your messsges app must be taking a huge amount of storage space on your phone. If you have not deleted the photos, try going to a thread. Tap "Details" in the top right corner. You should see photos at the bottom. You can tap a photo twice and get the option (arrow in bottom left corner) to save. I don't think there's a way to "mark all" to bulk save. You will need to do one at a time. So tap Details and get this:
Tap a photo twice and get this:
Tap the arrow and get this:
Tap "Save" to save to camera roll
If you tap the opposite side from the arrow
You get this you can scroll down to see the photos.
But any way you go, it's one at a time. As far as I know!
Sent from my ancient but trustworthy iPhone 5.