Start by reading the API. Here's the JavaDoc page for the Thread class in JDK 1.6:
This article goes into greater detail:
I suggest you write just a basic test of multithreading, just to ensure you understand how it works, before going writing your actual code.
What exactly do you plan to use multiple threads for? Threads help you deal with concurrency issues: multiple tasks running at the same time. By separating code into threads, you can isolate your thinking for each task from one another. Threads are an example of decoupling, which is a good thing; the less any given piece of code needs to know, the easier that code is to change later.
I can't really see how Tic-Tac-Toe lends itself to multithreading, though.
Plan it out. The main thread will bootstap your application (main), and what will the second thread do?
There are some common pitfalls in programming with threads, some of which are described here: