Hover any message and click Reply (or use the thread icon in the hover row). A thread pane slides in on the right — type your reply there and it stays inside the thread, not the main channel.
Back in the channel, the original message gets a quiet ↳ 3 replies pill so anyone arriving later can catch up. Click it to reopen the thread.
When to use threads
Asking a clarifying question on someone's update.
Following up on a particular handover note without flooding the main feed.
Sidebar discussion that'd be noise to everyone else.
On mobile the thread opens full-screen so you're not squinting at two columns at once.