There is no easy way ... Google doesn't give that to us as a control, either
to break threads apart, or to merge them together. (The only thing we can
do, is delete individual messages in a thread, if you are careful how you do
it.)
Messages are put into threads by virtue of their subject, apparently; though
there seem to be occasional exceptions to that as a simple rule. So as
'Chris17' says, the only thing you can do is forward messages to yourself
with the subject of the thread under which you want them to appear. It is
cumbersome but that's about all we can do.
Andy
Interesting. I just tried it myself, even using cut-and-paste to get
the subject exactly right, three times and got three new threads!
(Also tried it with a "Re:" prefix to see if it made any difference.)
So apparently, Google is using more information than just the subject,
to decide how to group messages into threads.
Given that, I can't think of a way to accomplish what you want.
There have been suggestions to Google to allow control over threads.
There's a webpage somewhere where you can 'vote' on suggested Gmail
improvements. This suggestion was one of the choices, but I don't
recall whether I saw it listed there the last time I checked.
Andy