All the answers provided here are somewhat misleading to anyone having the same problem as the OP.
This is how I interpret the original problem.
OP complains that the conversation isn't appearing on both iPhone and iPad when people send an iMessage to his carrier mobile number, but confirms that it DOES work when sending to his Apple ID email.
User expects the latter when people send to his carrier mobile number.
Solution which everyone above have been giving is; turn on "Receive at" to include the Apple ID email.
What they all failed to tell you is that they are having success with receiving on both devices because they are using the Apple ID for transmitting, and not the carrier mobile.
I tried this myself, and I have to admit, only when someone else sends it to my email address can I receive on both devices.
Problem being, no one uses a person's email to start a convo, it's always the phone number.
Let's face it, no one associates you with your email address. Your phone number is your next line of contact. And no one is gonna start a convo with your email address in mind just for your benefit of receiving on all devices.
TL;DR, To be able to receive outside messages on all your iOS 5 devices, the sender MUST use your Apple ID email.