You can also select the emails you want to forward, click on the overflow menu and then choose "Forward as attachment" if you'd rather start with that before typing your message up. There's no need to create a brand new thread if you're replying to an email, as well. Just pop out the draft window when you're replying to someone and then drag and drop emails to it like you would if were creating a new draft entirely.

Google says the "feature is rolling out gradually," so it may take some time to reach you. You'll know you can start attaching emails to your emails, though, when the "Forward as attachment" option appears in your overflow menu.