How to send follow up emails in the same thread as previous email?

When you're creating a new email campaign, you see an option named "Send followup in the same thread". If this option is enabled, all the follow-up emails in the campaign will be sent in the same thread as the previous email. If this option is turned off, the follow-up emails will be sent in a separate thread. In other words, the follow-up emails will be sent as a new email and not as a reply to the previous email in case this option is turned off. 

Using this option will prevent you from using different subject line in follow-up emails so if you wish to use a different subject line for the follow-up emails, you may need to turn off this option

This setting will be visible below your connected email account when you create an email campaign as shown in the below image.