If your primary concern is to improve the execution time, take a look at Memcache and Tasks. They can be used to reduce or avoid the latency of reading from or writing to the Datastore or other storage options, fetching URLs, sending emails, etc. If you do a lot of difficult computations that can run in parallel, look at MapReduce API.
Once you remove all the delays from your program, there will be no reason to use multiple threads within a single request.
Note that App Engine instances can use multithreading to execute multiple requests at the same time, so they tend to use allocated resources efficiently. To enable it, see: