Most problems do not require a lot of CPU time. Really, single cores are quite fast enough for many purposes. When you do find your program is too slow, first profile it and look at your choice of algorithms, architecture, and caching. If that doesn't get you enough, try to divide the problem up into separate processes. Often this is worth doing simply for fault isolation and so that you can understand the CPU and memory usage of each process. Also, normally each process will run on a specific core and make good use of the processor caches, so you won't have to suffer the substantial performance overhead of keeping cache lines consistent. If you go for a multi process design and still find problem needs more CPU time than you get with the machine you have, you are well placed to extend it run over a cluster.
There are situations where you need multiple threads within the same address space, but beware that threads are really hard to get right. Race conditions, especially in non-safe languages, sometimes take weeks to debug; often, simply adding tracing or running under a debugger will change the timings enough to hide the problem. Simply putting locks everywhere often means you get a lot of locking overhead and sometimes so much lock contention that you don't really get the concurrency advantage you were hoping for. Even when you've got the locking right, you then need to profile to tune for cache coherency. Ultimately, if you want to really tune some highly concurrent code, you'll probably end up looking at lock-free constructs and more complex locking schemes than those in current multi-threading libraries.