You can use threads in Unity but the engine is not thread safe. Usually you run detached threads (from the Unity UI) to do long running processes and check on results (you cannot interact with Unity from the working thread). The common approach is to use a class which represents a threading job which will be initialized by the Unity main thread. Then you start a worker thread on a function of that class and let it do it's job (Coroutines run on the Unity main thread so are not real threads. Best article on Coroutines is here)
Here's an example of the approach described above (see accepted answer):
http://answers.unity3d.com/questions/357033/unity3d-and-c-coroutines-vs-threading.html
You might also want to try a UnityGems package that achieves the same effect but provides convenience (such as closure support). See this page
HTH. Best!