A discussion (or "thread") is placed into a subpage (like on VFD) which is then transcluded into each page that it appears on.
How do I reply to a thread?
Follow the [edit] link next to the section heading. If you want to make the pages the thread appears on, you can use the {{purge}} template or (to give me a "you have new messages") edit my talk page without changing anything.
How to I start a threaded discussion on your talk page?
Go to the end of my talk page and type the following: {{/new|(2-digit number starting at 01)}}
Preview the result
Copy and paste the text of the resulting redlink to replace the {{/new}} (eg. {{User_talk:Alphax/2024121-01}}). The number must have 10 digits - 8 before the hyphen, 2 after. During the first 9 days of the month, you will need to insert a 0 (zero) to get something like 20050101-01. This is an issue with MediaWiki.
Save the page
Click on the redlink, and leave your comment in a new section there by using a level 2 heading (eg. == Regarding the edit you made to (some article) ==). Save the page.
Type {{}}
Paste what you copied to get something like {{User talk:Alphax/20050327-01}}
Save!
Now what?
If well all click on the "edit section" link, the discussion will be synchronised on both pages.
You may need to insert the {{purge}} template on your talk page. This is generally a good idea.
