I think this can not be perfectly done for the time being. There are 2 basic problems:
How can you make sure the sms is already in the inbox when you try to delete it?
Notice that SMS_RECEIVED is not an ordered broadcast.
So dmyung's solution is completely trying one's luck; even the delay in Doug's answer is not a guarantee.
The SmsProvider is not thread safe.(refer to http://code.google.com/p/android/issues/detail?id=2916#c0)
The fact that more than one clients are requesting delete and insert in it at the same time will cause data corruption or even immediate Runtime Exception.