would like to have the mails sent from SmsToMailbox to appear in threads. How can I establish that?
You can enable the forwarding of mails as threaded mails by checking Menu > Configuration > Threaded view. Keep in mind that your email application (webmailer) needs to support and is enabled for the display of threaded mails (GMail is displaying threaded mail as default). In other email applications you may have to change the view to get the SmsToMailbox conversions displayed in threads.