Windows phone 8.1 does not support this feature. Hence if you are using WP8.1 there is no way to attach a document in a reply. Only photos are supported.
The only way to send a document via mail is to share it from Files app or from Office. But as you said it will create a new thread.
With Windows10-Mobile it is now possible to attach a document in a reply....
Zip the photos into one .7z archive using 8-zip and send the archive as attachment....wp might not resize in this case...
You may also try renaming it to .xyz ,so that wp may not try to compress it like it does for photos
This is a limitation with Windows Phone 8.1.
I have updated to Windows 10 Mobile. Mail client (Outlook) with Windows 10 Mobile is able to send full size photos and other files too. It also supports many more features like text formatting, inset picture, etc.
You have downloaded the file but,you haven't saved it yet.That's the reason why you are not able to see it when you are connect your phone with your laptop.
All you need to do is go to your email and press and hold till the pop up appear,then select the save option.After that you will be able to see that file.
Initially, they're in a temp folder. If you tap and hold, you'll be able to save somewhere directly.
If you want to save the a photo, open the individual attachment by tapping on it after the download is complete, then tap Save and it will get saved to your Saved Photos folder
If it is a document, it's a little funnier. You have to open the "Office" app ...
The email app only supports browsing for pictures; The OneDrive app supports creating a "sharing" link to send to a recipient.
If you open the document in the relevant app (such as Word), you may be able to choose to share it via email there (At least Word supports approach)