Right now as far as I know the only way to merge two threads is to select them both. This is easy if both threads are located on the same page when looking at the thread listing. However if you wanted to merge a thread with an older thread and didn't know which page it was on to select the thread it makes things quite difficult. If you had an option to enter the URL of a thread you'd like to merge into like you do when moving a post it would make life easier.
Another possibility could be that moving the first post of a thread to an existing thread moves the entire thread.