To keep your email sequences always in the same thread, please use the same subject line in your follow-up steps to automatically use the same subject line as the previous step or manually enter the same subject line.
If the subject line is different than the previous step, the email sequence will be sent out as individual emails in a new thread.
So if you want to send the follow-ups in a different thread, you can change the subject of your steps.
To keep your email sequences always in the same thread, you also need to keep the same sending accounts in your campaign.
Mailead sends all the follow-ups from the same sending account by default. If you remove that sending account from the campaign, the leads will receive follow-up emails from other sending accounts in this campaign which will be a new email thread.