I think you can keep most of your previous code. All you need to do is add a few instructions in the preamble -- specifically, load the ntheorem package and modify the default definition of theoremstyle (the latter is needed only if you want to see , continued rather than (continued)) -- and remember to issue the command \addtocounter{example}{-1} before typing \begin{example}[continued].
See the following MWE:
\documentclass{article}
\usepackage{amsmath}
\usepackage[amsmath]{ntheorem}
\makeatletter
\renewtheoremstyle{plain}%
{\item[\hskip\labelsep \theorem@headerfont ##1\ ##2\theorem@separator]}%
{\item[\hskip\labelsep \theorem@headerfont ##1\ ##2, ##3\theorem@separator]}
\makeatother
\newtheorem{example}{Example}
\begin{document}
\section{Some thoughts}
Consider the following example:
\begin{example}
$a = b + c$
\end{example}
Now consider what happens if we add $d$ to $a$:
\addtocounter{example}{-1}
\begin{example}[continued]
$a + d$
\end{example}
\end{document}
Edit: Following up on the suggestion of cmhughes, here's a version of the preceding MWE that's very similar but relieves the author of having to remember to type \addtocounter{example}{-1} before starting the example. This is achieved by creating a new environment I've named contexample; its style is identical to that of the example environment except that it appends ", continued" to the environment's header. Note that with this device, any example can be "continued" as often as one wishes.
\documentclass{article}
\usepackage{amsmath}
\usepackage[amsmath]{ntheorem}
\makeatletter
\renewtheoremstyle{plain}%
{\item[\hskip\labelsep \theorem@headerfont ##1\ ##2\theorem@separator]}%
{\item[\hskip\labelsep \theorem@headerfont ##1\ ##2, ##3\theorem@separator]}
\makeatother
\newtheorem{example}{Example}
\newenvironment{contexample}{
\addtocounter{example}{-1} \begin{example}[continued]}{
\end{example}}
\begin{document}
\section{Some thoughts}
Consider the following example:
\begin{example}
$a = b + c$.
\end{example}
Now consider what happens if we add $d$ to $a$:
\begin{contexample}
$a + d$.
\end{contexample}
And if we wish to continue along these lines, we also find
\begin{contexample}
$x = y$.
\end{contexample}
\end{document}
\documentclassand the packages that you are using. Otherwise it is not clear what the problem is. – Peter Grill Sep 14 '11 at 22:21\addtocounter{example}{-1}. – Mico Sep 15 '11 at 1:04