Well, a year ago when the OP started this, she decided this answered her question, especially since there is no way to do as you ask. If you would like to see an enhancement like this, then you need to provide that information to Apple. This is a user to user support forum, and Apple does not participate here. Feedback to Apple goes to http://www.apple.com/feedback and then you click on the appropriate subject area.
Fact is this is how messaging works. As a group message recipient you don't really have control over the message anyway. This is one of the problems I find with Group messaging, but it is that way in all group messaging, not just the iPhone. Good luck with trying to get that changed.