Twitter had a fail whale moment this morning (Greek time). Something was technically wrong or the data base needed some love or the conversation features i was talking about start to emerge. Twitter is showing a in reply to < username > just next to the time stamp and client name. The in reply to link leads to the original tweet. Conversation is not yet implemented or at least is not yet implemented in the very same way as it is in search.twitter.com. Expect this to change very soon.
Update: Looks like i was wrong. In reply to link been there for months now. Thanks everybody