I would like to know if there is a way to show my sent mails in thread view in Mail.app.
I like thread view a lot, the only thing that I would love to have is viewing my sent mails also in the threads, just the way GMAIL does it.
This is the real answer!
When viewing one mailbox (say, for instance, your Inbox), you can Command-click on any other mailbox (say, for instance, your Sent folder), and all messages from both mailboxes will be displayed in the main window ... threaded together.
By having both your Inbox and your Sent folders listed together, the threading looks like you'd expect -- your message, the response, your follow-up, the backlash, etc.
In OS X 10.7 Lion, it's very easy. In Mail > Preferences, select the Viewing tab and check the option to Include related messages.
That solves the problem.
Here's what I did:
Create a new smart mailbox (from Mailbox menu) called "recent conversations" where the only criterion is Date received is in the last 7 days. Check "Include messages from Sent".
When you're viewing that, go to the view menu and choose "Organize by Thread".
You can adapt the smart mailbox criteria as you like.