If you are using Apple Mail, as I am, it doesn't natively handle Mailman digest messages from the list. If you hit reply, it then replies to the *entire* digest ala "Re: P-List Digest, Vol..." and thus creates a new thread instead of building upon the previous by using the same subject line.
What I generally try to do in Apple Mail is:
1. select the part of the digest I wish to reply to by drag selecting the text
2. hit reply
3. copy the subject line from the individual message in I'm replying to in the digest email body & replace the subject line in the new message
4. adjust the To: line as needed, copy paste the name/email address to whom I want to reply to directly and move the Pd-list to CC, as needed