Yup, and it looks like you can use the
Subject field to accommodate the filtering you want, to set up individual filters to focus on specific threads. This way you don't spam your phone w/text messages.
1 - Create the filter, placing in the subject the text of the thread title that you want to monitor for

2 - Forward it to your phone via the email address scheme earlier in the thread

I'm gonna play a lil more to see if I can clean up the messaging...but it looks like you can use the above to create a filter on the exchange thread using the title of the thread.