Considering the cost, the only valid reply is to test it for yourself (not-so-elegant way to tell you I have never done such a test, and will never do it, as modern Execution mechanism provides far advanced creation/destruction mechanisms).
Consdering existing implementations, Java modern versions (starting with Java 5) offers various subclasses of ThreadPoolExecutor that combines the benefits of a thread pool with the most modern concepts of java.util.concurrent : Executors.
Besides, I would never recommand enough to you to forget about Threads and to repalce them with Runnable, callable and other more advanced computation objects. This way, you can easily switch implementation of Executors.