I successfully merged SMS threads by creating a backup using SMS Backup & Restore.
Just open the created .xml file in e.g. Notepad++, then replace your contact's number in the "address" field according to the number you want to merge with. Now load the altered backup file back onto your phone, delete your messages from within the app, and restore your newly created backup file. Although it worked fine for me on the first try, I recommend keeping your initial backup file, and save your editing to a copy - just in case.
Using this method, I also fixed some splitted threads, where one contact with one number got split up in several threads, because of an incorrect number restore from backups when switching phones.
Hope this helps. :)