Thanks a lot, Ted, for the good extensive explanation.
Let me try summarize, confirm and add a bit w/o repeating too much:

- If you get regular mailing list e-mails, and reply to
  postings, any decent mail software will take the 
  'Message-Id:' header of the message you reply to, and
  produce 'In-Reply-To:' and 'References:' headers from it, 
  and will add them to your own e-mail.
  [ Most e-mail softwares keep these headers hidden, and quite a
    few pieces of e-mail crapware don't even allow you to see these headers.]

 { And as Ted mentioned; unfortunately, we still have too many
   r-help posters who **misuse** their e-mail-software's `reply'
   and then inadvertently "hijack threads"... }

- Yes, the threads are *not* built from 'Subject:'s but rather
  using the e-mail headers 'References:' and/or 'In-Reply-To:'

This is all based on international e-mail standards (RFC/..) mostly going
back into the age where most R-help readers have not ever used e-mail..

- With mailman, there are 2 ways to receive digests:
   (1) "plain text"  --- which is default, since some dumb e-mail
                programs can only deal with those
   (2) "MIME"  --- which uses the MIME standard to send the digest.
               With a good e-mail software, this means that you
               get ``each message as attachment'' {that's how it
               typically looks to the user}
           which you then can open - in your mail software(!) -
           and it will behave like a regular e-mail; it has a
           (typically hidden) 'Message-ID:' etc
          ==> when replying to such a message you automatically
          get both:
           1) correct Subject
           2) correct In-Reply-To + References ===> correct thread

*So* : What we (and many) recommend to all  digest  subscribers
 is to activate the "MIME" option - on their mailing list
 "membership info page" to where you get from
 https://stat.ethz.ch/mailman/listinfo/r-help 
 after entering your e-mail address at the very bottom of the
 page (and then your list password).

-- but, as Michael Dewey just mentioned,
 unfortunately there are (too many) pieces of e-mail crapware
 around which even don't support the above correctly...

Martin Maechler, 
ETH Zurich, provider of (most of) the mailing list infrastructure for R.

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