Privately or on the forum? Privately, you can select the forum member's name just below their avatar, then select the "start conversation" hyperlink. As far as on the forum, you're doing it. The latest message will always throw the thread to the top of the forum if you have it sorted accordingly. Welcome.
What do you mean chat? If you mean personal conversation, just click on the member's name and start a conversation.
https://www.cointalk.com/help/terms I really like CT but finding things like the rules can be a bit of a problem for those who do not live for forum software. Instructions for use are not better. Those of us who stuck with it will find what we need eventually but things like how many post you need to start conversations are not obvious to the least of us.