If you're completely new to threads, google for "sun thread tutorial". Here's one
http://java.sun.com/docs/books/tutorial/essential/threads/ but other folks may recommend other starting points.
If you have multiple tasks to perform against the database, encapsulate each one in an object (command
pattern). Make each one implement Runnable,
put the guts of the job in the run() method, and start them all up at once:
Multiple tasks can run faster together than serially because one gets CPU time while another is waiting on a database operation. It is certainly possible to start too many all at once. I don't know what the limit would be, but if things really seem to slow down with a zillion running at once, look into the Jakarta Commons thread pool. It looks pretty simple to use.
http://jakarta.apache.org/commons/sandbox/threadpool/