Can't get threads to work

I might be missing something but I can't seem to get threads to show both sent and received emails, other than by opening a message, clicking More, and selecting Open In Conversation. As an example, I received a new email and replied to it. In the Inbox list, I see the icon indicating I replied to it but if I open the message, all I see is the original received message, not my reply. IN my Sent Mail folder, I see my reply above the original email but only because I'm including the text of received messages in replies. I have rebuilt the Global Index sqlite file which I read is a possible cause of this problem. Is it not possible to see all the emails in thread except by using the Open In Conversation opetion?