Mostly all the phones have the same way of forwarding, copying and deleting the text messages (SMS). Likewise Lumia 520 follows the same method of doing it.
Here are some simple steps on how to do that,
Click on the Messaging icon from the home screen, where it lists the entire message you have sent and received so far. Tap on the message that you would like to forward or delete. It opens up the message, press and hold the text message for a while. There you get options like – delete, forward and copy.
You can also multi select messages to delete them all together by taping the dotting icons (…) at the bottom of the screen and tap the ‘select’ icon.