I have never used that option myself...but I assume it work this way....
You are putting up "new Thread"
You are choosing Forum
Then you mark those post you want to keep in the original forum and the rest are you sending to the new thread by hitting split from selected post.
This is a nice option in "Academy"...if you have a "main question" and the student are finish answering..you mark your question and move all the rest to an " store" thread...this way you can start on new with the next season of students
