iPhone 4S iMessaging to a iPad and iPhone - compilation of message threads
I have seen people set up iMessage in two ways:


The default manner where you accept messages from all email, phone that you have attached to your Apple ID (and this implies that people can send you message to more than one "address" and that conversations will not be threaded).
By restricting the receiving addressed so that people can only send you messages to either one phone number or one email address so that threading of all messages is forced.


You can change your settings on each device - just go to iMessage and disable all but one email and/or phone number for receiving messages. On iOS 6, open the settings app, tap on Messages, tap on Send &amp; Receive, and ensure that only one address for being reached at is selected.

The downside of the second method, is you have to get everyone to only send messages to one account. The default settings were probably designed to ensure that all messages get to you even if it means they don't get threaded and assembled into a unified view.