From the design perspective, I've found it useful to draw sequence diagrams where each thread's actions are color coded (that is, each thread has its own color). Using color in this way may be a non-standard use of a sequence diagram, but it's good for giving an overview of how and where threads interract.
As others have mentioned though, reducing the amount of threading in your design to the absolute minimum it needs to work properly will help a lot as well.
