House style will dictate the way to do it in the end. At Evernight, we use italics, and all the sentences are intended as if they are separate paragraphs. No speech marks, as it's set up in the preceding sentence this is a text message and who is speaking. I haven't done an extended one, and I likely never will. It's difficult to read things in italics for more than a few lines, and readers become lost in a conversation without a dialogue tag or action here and there to identify who is speaking. If you do it, I'd suggest keeping it to a minimum, and having a good reason why the readers need to see the text conversation. In other words, don't simply do it because texting is common, or for effect. Hope this helps.