I don't know about the threaded SMS. I have seen that question asked on here and never really paid much attention to it. I know you can go to Options > SMS, and set Number of Previous Items to your desire, but I don't think that will give the thread you are looking for.
Set your side convenience key at Options > Screen/Keyboard, scroll down.
Likewise, for keyboard lock, you can use the shortcut of tapping "k" on the homescreen IF you have Phone > Options > General Options > Dial from Homescreen set to NO. Then you can use a whole list of homescreen shortcuts, and set your side convenience key to some other utilization. Home Screen Shortcuts - BlackBerryFAQ