The general assumption is that RIM was lazy with their SMS feature set. There is at least one 3rd party developer who has created a threaded SMS application for the BB which may give you what you're looking for. It likely is also dependent on you retaining historical messages so that the threading is uninterrupted. I've not used it and don't recall the name... but knowing is half the battle.
I'd search around in the aftermarket software forum here, or Google threaded sms blackberry... see what you find. I do not believe there are any free threaded SMS solutions however.
Treat your password like your toothbrush. Don't let anybody else use it, and get a new one every six months.