When you send messages on Skype they are only delivered when you are both connected to the Skype network. If you send a message while either you or your friend is offline you see that it is pending and will be delivered next time you both connect.
If you send a message and then change your mind you can right click on the message and choose to remove it. You friend will be sent a notification that you removed a message which is a bit annoying because then they will wonder what you are hiding!
To delete messages permanently and without the notification you need to hack Skype's database which uses Sqlite:
First shut down Skype because it locks the database.
in Terminal
> sqlite3 Library/Application\ Support/Skype/YOUR_USER_NAME/main.db
sqlite> select * from messages
Now find the id of the start of your conversation. The id is the first column in the results.
sqlite> delete from messages where id > 2904;
This will delete all messages after your conversation. If you want to be more specific then you may be able to delete individual messages.