We have 3 different delete features under the "My Tweets" menu.
1-) "Delete Tweets" sub-menu
This module deletes up to the most recent 3,200 tweets.
2-) "Delete Retweets" sub-menu
This module deletes up to the most recent 3,200 Retweets.
3-) "Delete Twitter Archive" sub-menu
This module helps you to upload your archive file and delete them all. If you want to delete all your old tweets, retweets, and replies, you should use this menu. You can also filter your tweets, RTs, and replies before deleting them as described here.
Here is the hands-on video: "How to delete all your old tweets at once":