When you turn on “threads” in Mail, messages with the same subject are grouped together so you can review the thread of an email correspondence – or, at least you can review one side of the conversation in your Inbox, because end of the conversation – your replies – are in your Sent box and aren’t included in the Inbox thread.
But you can easily get both sides of the conversation showing in a thread:
1. In the Mail window sidebar, expand the Inbox and Sent categories if necessary so you can see the accounts beneath them.
2. Click on your mail account under Inbox.
3. Command-click on the corresponding account under Sent, so both the Inbox and the Sent categories for the account are selected at the same time.
4. Turn on Threads by clicking the button in the Mail window toolbar (or choose View > Organize by Thread.
With Threads turned on (use the button in the Mail window’s toolbar), you’ll see both the messages you received and those you sent on a topic all grouped together.

Top: Before threading. Middle: Inbox threading. Bottom: Inbox + Sent threading.