Here's a spin on it if I'm understanding it correctly. If the other person replies to a text from you, it'll come in under a thread that already exists. But if they text you by picking you out of their contacts as if they are starting the conversation, then you should get a new thread start. Likewise if you start a new conversation, when they reply, it not in an existing thread.
I'm not 100% sure about this, but after reading this thread, I believe that's what I've noticed with my phone.