They are deleted from the phone when you delete them. There is no 'trash can' for SMS/MMS messages. It does take at least two actions to delete a message (swipe then tap delete, or 3 if you tap edit, then the delete symbol, then Delete). But once you delete it, it is gone and cannot be recovered from the phone.
It might be possible to recover the message from the backup of your iPhone on your computer, but only if 1) you received the message prior to your last sync
and 2) you deleted it after your last sync
and 3) you have not synced since you deleted it. If that's the case, recovery software (e.g. MobileSyncBrowser) can pull it from your backup. But if all three of the above conditions are not met, it's gone for good.