I remember when I first got the Storm on November 14 and I was so happy that there was a 'threaded SMS/email' function as it was my first smartphone and I thought it was so useful rather than exiting, pressing the previous message to remember what they wrote, exiting, reopening your drafted SMS etc etc. However, some hardcore fans said it wasn't really threaded messages as it only showed 7 or so previous items. This may have been discussed already, but for those who didn't know, you can have up to 50 previous items in your message list: so if you open up a message from John Smith, it will show all the 50 previous messages and replies of that contact.
Go to options --> SMS --> number of previous items.