What is the rough \"cost\" of using threads in java? Are the any rule of thumbs/empirical values, how much memory the creation of one thread costs? Is there a rough estimate
That depends: It depends on the OS, the Java version, and the CPU. The only way to figure this out is to try it and measure the results.
Since you'll be using the ExecutorService, it will be simple to control the number of threads. Don't use too few or requests will stack up. If you use too many, you'll run into performance problems with your file system and the DB long before Java runs out of threads.