Look at the “Customizing Threading” node in the Gnus manual. Here are some often requested changes.
By default, Message IDs and References headers are used for threading. Other people’s clients are often broken, however, and don’t maintain References. If these people post a lot, threading in those groups will be messy. You can force Gnus to gather threads by subject instead.
(setq gnus-summary-thread-gathering-function 'gnus-gather-threads-by-subject)
To ignore whitespace, “Re:” and diverse other things when comparing subjects, you can use fuzzy matching.
(setq gnus-summary-gather-subject-limit 'fuzzy)
KaiGrossjohann said on the ding mailing list (the mailing list for Gnus) that you can select a message which is to be the parent, hit `#’ on it, then select the message to be added to that thread, and hit `T ^’ on that.