It's probably easiest to just think of a PDL thread as simply an optimised loop: instead of using a loop in Perl, it lets you use a loop in PDL's C code, which is of course quite a lot quicker.

The docs say:

why threading ?

Well, code that uses threading should be (considerably) faster than code that uses explicit for-loops (or similar perl constructs) to achieve the same functionality. Especially on supercomputers (with vector computing facilities/parallel processing) PDL threading will be implemented in a way that takes advantage of the additional facilities of these machines. Furthermore, it is a conceptually simply construct (though technical details might get involved at times) and can greatly reduce the syntactical complexity of PDL code (but keep the admonition for documentation in mind). Once you are comfortable with the threading way of thinking (and coding) it shouldn't be too difficult to understand code that somebody else has written than (provided he gave you an idea what exspected input dimensions are, etc.). As a general tip to increase the performance of your code: if you have to introduce a loop into your code try to reformulate the problem so that you can use threading to perform the loop (as with anything there are exceptions to this rule of thumb; but the authors of this document tend to think that these are rare cases ;).
http://pdl.sourceforge.net/PDLdocs/Indexing.html#threading (emphasis mine)

Best wishes, andye