mysql multi threading for a single query
Neither MyISAM nor InnoDB have multithreaded query implementation. Nor do other XtraDB, TokuDB.
It is a long standing issue and limitation of MySQL. I don't know that the limitation is within the MySQL server, but rather in the storage engine implementation. No one ever did it...
I'm currently evaluating the column-store InfiniDB and Infobright IEE. They both support multi-cpu queries and the difference is overwhelming (due to multiple reasons, but CPU being obvious one).
You might want to look at Shard Query, a proxy to MySQL which splits your query into multiple queries, executes them on parallel processes and returns the aggregated result.