Depends a lot on the actual hardware you have. Read Be aware: To Hyper or not to Hyper for a more in dept analysis. Slava's point in the link is that in HT the virtual cores share the cache and a the virtual core workload can trash the cache of the 'main' core and, even though it can do at best some 20% of workload compared with the main core, becuase it evicts the hot cache of the main core, it cause the main core to stall and overall results in worse performance than w/o HT.
But a lot of things have changed since the article was posted, HT post Nehalemis significantly better.
I know that to benefit from multi-threading, all that is needed is to spawn new threads to perform heavy cpu tasks
That is quite a naive view. You must read Rick Vicik articles on high performance windows programs (they apply to managed apps too) and you must absolutely understand CPU Caches and Why You Care.