How do I change my photo in my message threads?
As you haven't given your Android version, I shall give the steps I used for my device:


Open the messaging app.
Press your picture, or the standard picture.
An overlay should appear at the top. Click it, and select take picture or choose picture.
Crop picutre.
Restart the SMS app.


This video also shows it: http://www.youtube.com/watch?v=6hxULkTKe9E