Frequently used conversations can be pinned to the top of the messages app. By default, the SMS conversation with the latest message is always displayed first. When a conversation is pinned, it always stays first, regardless of the last SMS message written/received.

Android 10 | ColorOS 7.0
Step 1:  Open the  Messages -App
Step 2:  Open  Conversation  you want
Step 3:  Open the  Menu
Step 4:  Tap on  Pin to top
  1. Open the Messages-App
  2. Open Conversation you want
  3. Open the Menu
  4. Tap on Pin to top

Oppo Instructions