There are two basic settings for a mailinglist with regards to where replies go to. The one KDE uses is that replying goes to the list. An older standard is that replying goes to the person that send the mail. This distinction is very annoying to make each time you switch mailboxes. KMail already makes it easier for you by having a feature that a mailinglist can be associated with a folder. But that one is not very foolproof, and I like playing a fool when it comes to software :)
I found out a new way to do this, its pretty darn simple. In KMails filter dialog I sort the incoming email to the right folder and I also set the reply to. That's a neat feature I only recently discovered!
Open your filter dialog (settings->configure filters...) for an existing rule that sorts your mail to a folder, click on 'more' in the 'filter rules' section.
I hope it will save you as much frustration as it did me :)