Robin...

I believe that the threads are set up automatically depending upon which message is replied to. For example:

If I reply to your message, as I am doing, then the thread shows the following:

Your message
Michel's Message
My Message

Had I responded to Michel's Message, then the thread would have appeared as follows:

Your Message
Michel's Message
My Message

In the follwoing example,
1
2
3
6
4
5

2 and 4 are responses to 1
3 and 6 are responses to 2
5 is a response to 4

Hope this helps, and I am sure that if I am wrong someone will let us know.
Also, as Michel suggests, use the map function to view the threads.