This is very doable via a workflow designed in SharePoint Designer, if
you have access to that piece of software. You just create  a new
workflow, attach it to your action  item list, then tell it to create a
new item in a discussion  list when you add task items. I just did
this within about three or four minutes. I can provide a step-by-step
walkthrough from my notes if you need them.

This is also what I am trying to do. I design a workflow to create  a
new item in a discussion  list. However, it only can create a message
type, not a disucssion type. So each of them is displayed as single
discussion item, no threading at all.

I tried several differnt approaches but so far I can not update the
hidden columns to crate a thread. If you can share your steps,
appreciate.

Yeah, I just noticed that, despite that the newly created  item from
the workflow shows a content type of "Discussion" when you look at the
actual list  item. The library is functioning properly, since creating
new items  correctly creates an item with a Discussion view.

It's implied in SharePoint Designer that at least some list types can
allow list items to have their content type changed - creating a new
task via workflows, for instance, allows me to change the Content Type
field to a different type value. It doesn't seem possible to force
the content type when creating a new item in a different list,
however.

I'm not clear on whether there's a fix to that one and I'm fiddling with it.

We have been running into the same issue. Since my customer will only
have 5-10 items  open at any given time, should I try creating a new
discussion list  for each item when it is created. Would that be easier
to accomplish? Down the road, I also need to create  the ability that
when an item is closed, the item and corresponding discussion  will have
to be moved to an archived area.

I'm beginning to think I might have to develop my own web parts for
this or try extending some of the ones that come out of the box?

I think the major issue here is: can workflow creates folders? I spent
couple hours yesterday and the day before and so far the answer is no.

Even with contnet management feature is on, add my own content type,
add data to Content Type column, still can not create  a folder.

Any idea?

I think the answer is, SharePoint Designer Workflows can't create
folders out of the box. Visual Studio Workflows can. Or you could
write your own custom activity in Visual Studio and add it to SharePoint
Designer. Either way you need Visual Studio.