I'm not clear on what's going on here.... do you have contacts with multiple mobile numbers?
Handcent IS threaded SMS. So by default it puts all messages from a single contact into a thread.
Not true. The threaded messages aren't based on contact they are based on phone number. So if you had someone with 100 cell phones you would have 100 threads from them.
For example, my Facebook notifications all come from different numbers. Despite having every single number that facebook sends me in the single Facebook contact, I have like 20 Facebook threads.