How to merge text conversations from multiple numbers into a single one?
To answer your question      


Open Contacts    
Find Contact A's Name.  
Click Edit and add an addition number to contact A, number Two.     
Click Mobile, Home or Work phone.    
Save the contact with multiple Numbers.




It's all pretty straight forward for an experienced human being... :)    


Reloading messages should attach the two conversations as one, if not, future conversations will be marked as the same contact.