Which desktop client do yo use ? I'd like to do the same but I know I will miss Gmail's thread formatting. I know there is a plugin for Thunderbird but it's not as great.
Something old-school - Forte Agent. It can do thread formatting like a newsgroup, but it isn't perfect - e.g. it sorts the threads by the timestamp of the root of the conversation, rather than most recent message.
I particularly like its identity support.
I can't stand Thunderbird.