There's a few steps to take before your messages are fully encrypted
Facebook has enabled end-to-end encryption for it's Messenger. This means user's conversations cannot be monitored by third parties. It's important to note, however, that encryption is not automatically enabled.
First things first, if you are a Messenger user, take some time to update your app. Once this is done, you'll be able to opt in for the encryption service.
Ticking this box, however, does not mean every conversation is then encrypted; you still have to manually select each individual conversation you have to become a "Secret Conversation". It's also important that both parties in the conversation use the latest version of the app.
Other bug-bears that have been identified already include the lack of encryption option for group chats and the fact that an encrypted chat can only be accessed from the device on which it was started.