However, I'm on digest, and am not sure how to do this properly, when answering a question. I'm guessing a reply direct to the digest won't maintain the thread.
Indeed, it starts a new thread. A better option is subscribing to individual messages, sorting them in a separate folder using Thunderbird's thread view, and deleting often.
Yes, I don't like these replies to a digest mail either. As you're using Evolution I don't know how to do it (I'm using Thunderbird), but I'm sure you can filter incoming messages into a seperate folder with Evolution, too.