You can create threads on Mastodon using the traditional method:

1. Post first part of thread
2. Reply to first part with second part
3. Reply to second part with third etc

Some third-party apps and services also have thread creation tools.

It's a good idea to number threads so that people who notice one part will explore the rest.

Also, set first post to "public" visibility but replies to "unlisted", to avoid filling public timelines.

Lots more info on threads at https://fedi.tips/how-do-i-post-a-thread-on-mastodon/