Is there some way to move an e-mail message that Outlook 2010 has made a new conversation for into another conversation?
Not at the moment.
Outlook 2010 recognizes your 'conversations' just beacuse of the subject of that email. So if you have people sending emails to you with the subject 'URGENT' they all will be linked together as a conversation, even if there's nothing in common between them.
This also applies to emails with no subject.
Edit: I'll add that it is not possible if you still want to keep the conversation view.
So, would this work?
This is not optimum, because it means you have to change the subject line of a message which has been sent to you. Is there a better way of linking an email into an existing conversation thread?