If you want to create a thread on Mastodon or other Fediverse platforms:
1. Publish the first part of the thread as a post
2. Reply to your post with the second part
3. Reply to your previous reply with the third part etc.
More info and questions answered at:
https://fedi.tips/how-do-i-post-a-thread-on-mastodon
Some mark their threads with a symbol and/or number the thread "1/5" or "1/X" so people can keep track of which page they are on.
To see the thread that a post comes from, just click on the post.