We study an evolutionary algorithm that locally adapts thresholds and wiring in Random Threshold Networks, based on measurements of a dynamical order parameter. If a node is active, with probability p an existing link is deleted, with probability 1- p the node's threshold is increased, if it is frozen, with probability p it acquires a new link, with probability 1- p the node's threshold is decreased. For any p<1, we find spontaneous symmetry breaking into a new class of self-organized networks, characterized by a much higher average connectivity than networks without threshold adaptation (p=1). While and evolved out-degree distributions are independent from p for p< 1, in-degree distributions become broader when p→1, indicating crossover to a power law. In this limit, time scale separation between threshold adaptions and rewiring also leads to strong correlations between thresholds and in-degree. Finally, evidence is presented that networks converge to self-organized criticality for large N, and possible applications to problems in the context of the evolution of gene regulatory networks and development of neuronal networks are discussed.