I'm using this ty, it required some time but works
On my phone so I can't dig out links, but there are two tools being recommended: Redact and PowerDeleteSuite. Both allow you to edit the comment/post before deleting, because if you straight-up delete the message Reddit reserves the right to the message content as it stood at deletion.
Good point about deleting or edit your comments before deleting the post, I initially started by going through mine manually before using Redact and a few slipped through the net.
This is what I used:
https://github.com/j0be/PowerDeleteSuite
Pretty good as it allows you to edit before deleting, just edit, exclude some content from deletion etc.
Everyone is talking about deleting comments, but what about messages? As in DMs?