You could create a filter like this
Choose "any field in header" and use the mail address with a leading dot
The idea is to match the In-Reply-to Header field which looks like this:
xxxxxxxx.user@host
where xxxxxxx is a number and user@host is the email address of the mail you sent.
If both the reply and the mail which it is referencing that way are in the same folder, KMail will be able to display them in a threaded view.
Cheers,
_