For two or more bodies in an isolated system acting upon each other, their total momentum remains constant unless an external force is applied. Therefore, momentum can neither be created nor destroyed.
The rocket operates on the principle of conservation of momentum. The rockets gain momentum equal to the momentum of the gas expelled from the engine, but in the opposite direction, they begin to expel gases after the rocket has begun to travel, and thus the rockets continue to gain momentum, so that they get faster and faster as long as the engine is operating.