How can I create multiple running threads?
There is no multi-process, nor multi-threading, support on the Arduino. You can do something close to multiple threads with some software though.

You want to look at Protothreads:


  Protothreads are extremely lightweight stackless threads designed for
  severely memory constrained systems, such as small embedded systems or
  wireless sensor network nodes. Protothreads provide linear code
  execution for event-driven systems implemented in C. Protothreads can
  be used with or without an underlying operating system to provide
  blocking event-handlers. Protothreads provide sequential flow of
  control without complex state machines or full multi-threading.


Of course, there is an Arduino example here with example code. This SO question might be useful, too.

ArduinoThread is a good one too.