Servlets run in a multi-threaded environment. You don't need to "implement" threading in a servlet. UNLESS of course, you are talking about using a class that extends Thread or implements Runnable within your servlet. In which case you proceed "as usual" just like in any other program where you want to use threads. The caveat is: Some enterprise-level containers do not allow you to create your own threads. Tomcat lets you, iPlanet App Server doesn't.
If you're talking about "are servlets mutlithreaded" and "what are the issues surrounding that?", then just search this forum for the words "multithreaded or threading".
Just a friendly note that one should treat all servlets as multithreaded, and that regardless whether you have explicit new Threads in your methods, all your variables should be declared as local as possible. The best practice is to keep their scope within methods (even database connections).