Reading the R-project website, there are some (unclear) references to multithreading with R, but it is unclear how the base product and CRAN libraries are compiled.
You can effectively multi-thread R by using KNIME or any other program that utilizes the rserve.exe executable. In KNIME, you can put an R Snippet within a Parallel Chunk node series for operations done row-wise. For column-wise operations, you can split the data set into subsets of columns and execute R Snippets on each set, then merge them back together.
I hope this makes your CPU fan spin faster!