When I delete a message from my iPhone it deletes from my iPad also. How do I stop this?

When you have your iCloud settings synced across both devices, all data is correspondent. You can turn this off by either going to Settings>(Your Name)>iCloud and scroll down to Messages and toggle it off. Now this way, your messages wont be synced across both devices. When you delete your conversation off one device, it won’t sync to your other device, with this disabled. Note, this only works for only for the devices you have this off for. You need to perform this on every device you want to turn it off on. However, the messages sent from your iPhone will not sync to your iPad and vice versa. You will still be able to receive and send messages on your device, unless you turn it off by going Settings>Messages, and toggling it off.

It’s the same process on either device. When you disable it from iCloud on one device, the messages on that device won’t sync to the other. Other than this, there’s nothing that can be done.