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Social media are frequently rife with rumours, and the study of rumour conversational aspects can provide valuable knowledge about how rumours evolve over time and are discussed by others who support or deny them. In this work, we present a new annotation scheme for capturing rumour-bearing conversational threads, as well as the crowdsourcing methodology used to create high quality, human annotated datasets of rumourous conversations from social media. The rumour annotation scheme is validated through comparison between crowdsourced and reference annotations. We also found that only a third of the tweets in rumourous conversations contribute towards determining the veracity of rumours, which reinforces the need for developing methods to extract the relevant pieces of information automatically.