If you are using Progress OpenEdge version 10.2 or better you can embed .NET controls directly into a 4GL program. But that would be like swatting a fly with a sledghammer...
And even if it wasn t the Progress 4GL (the programming language) is aggressively single-threaded and will not support multi-threaded .NET controls.
Both the 4GL and the SQL-92 db engines (Progress supports 2 different interfaces to the storage engine) are multi-threaded and perfectly happy to take advantage of as many cores as you have.
You may however, have a licensing restriction -- the "work group" license uses a semaphore based concurrency algorithm in v9 and early v10. (Later versions use a very limited mutex (spin lock).) The "enterprise" db has no such restriction.
Or it is possible that the target system simply hasn t been setup to support multiple ODBC connections (the db admin should know, key parameters are -Mn, -Ma and possibly -Mpb).
If I were doing this I think that I would simply fake multi-threaded access by starting multiple sessions against different segments of the data.