[radford-neal]

Well, pqR already uses multiple threads automatically to parallelize some numerical operations - e.g., for long vectors a and b, (a * b + a / b) might be computed with three threads, one computing a*b, one computing a/b, and one adding the results of these as they become available, or exp(a) might be computed with two threads each handling part of a.

But if you mean threads programmed explicitly in R, with fine-grained, low-overhead communication using shared memory, I think it would be quite challenging to modify the current implementation to support a language extension to do this. But maybe not impossible, for some sorts of extensions.