There are a couple things. When an entire thread is moved or merged with another, I'll typically leave an expiring redirect in its former section. I typically set the redirect to expire on the order of a few days. I make a judgment call based on how old the thread is, how recently it's been posted to, and the number and importance of any linkbacks it may have. So it can vary from an hour to weeks to being permanent, but typically it's a few days.
If I'm moving a post to another thread, I may leave references to where the post came from in the new thread or where it went in the old one. Again it's a judgment call. If it was completely off topic, I often might not bother. If it was related, then I'll try to leave a post to where you can find it.
We're looking into fixing the notification emails so that you'll find the post no matter where it goes. (Each post has a unique identifying number.) Do a lot of people really use the email notifications for subscribed threads?