@cooperfun if you live in a small town in Utah where nothing ever happens and where there is no escort scene to speak of, a salacious incident like the one you described could be a BIG DEAL. Which is why your escort was arrested. The prosecutors and the cops don't have much else to do. What if your escort, as part of a plea agreement, discloses his clients - including you? By all means, do speak with a lawyer. If you can afford paying for escorts, you can afford a lawyer.
For future reference - sending messages containing payment information and explicit descriptions of services to be rendered for these payments is a really BAD IDEA. Just don't do it. If you need make requests of an explicit nature, talk on the phone. As others have observed, you can't really delete text messages.
If anything, I hope this was a learning experience for you.