With the version 3.8 update, several improvements have been added to make managing private messages easier.
1) You can now sort by Title, Sender, and Date by clicking the column title at the top of the PM list. Note that Date is over to the far right (and is the default sorting method).
2) You can filter your PMs in a variety of ways using the new filters at the bottom of the PM list. You can filter by sender, title, read status, and date range. The PM search plugin I previously added also remains as an option on the left hand menu.
3) Group select checkboxes - at the top of each group of PMs (depending on how you have it sorted), there is a checkbox with the total count of PMs in that group. You can use it to quickly select all the PMs in that group to move or delete them. Once you select all, you can easily unselect an individual PM from the group by unchecking it.
4) Quick reply has been added to the PM view.