If you drop a Java method onto a lifeline, an outgoing message from that lifeline and the corresponding target object are generated. If you drop the Java method somewhere into the diagram, you get an object with a self-message.
Of course you also simply drag a message from one lifeline to another (or the same) and then select the operation.
To move a message, just drag it up or down. All dependent messages (i.e. those connected to the target execution either directly or indirectly) will follow without changing their layout. When multiple messages are selected, they will all be moved.