I can't find a setting the makes Evolution display messages sent by me in thread view. I can find them in Sent folder, but I'd like them to be part of the normal threads.
You will need a couple of steps. Enable the threaded folder view with
Ctrl+T. Then set "Include threads: all related" in the search folder configuration.
If you are using an SMTP server other than Gmail's you may need a further hack. You could bcc yourself at a plus extension of your Gmail address; something like "+threaded", then configure the external Evolution accounts to "Always bcc to" this address.
There is a detailed walk-through of this approach by Matt McCutchen on his blog.