@littlesaint In the compose window, click on that little globe icon next to the camera and CW.

The globe icon is visibility settings. You can select 'direct' to only message someone's username directly. Unlisted means that a toot is still going to be visible if someone visits your profile address, but we won't see the toot in a timeline of all toots.

By default the visibility setting is on public, of course. This visibility setting is on a per-message basis.