If you compose a message from your Inbox then it is private. If you post something on someone's wall it is not.
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When you send a message on Facebook, your message is private between you and the recipients. It will not appear on the recipient's wall.
if you have a facebook message then it is already on facebook
Why yes you can privet talk on facebook, i say the easy way to privet talk is to message them just click the persons account you want to talk to and by the poke button there's a message button click it and you will know what to do after that.
On the upper right hand corner of the persons wall there is now a "Send Message" icon, click on the words and it will open the standard email form.
Despite various rumors, there is no way of retrieving deleted messages on Facebook. Immediately after you delete a message in your private Inbox, you are given the option to "Undo" - above the message - but that is it. Once a message is gone, it's gone; there is no way to recover it later.