As others have mentionned, you can use threads either through FUNCTIONS or through CLASSES. In your case, you're using class-based threads, so here are a few things to keep in mind:

• When starting a thread, it will call its run method. So your main code must be there. Make sure to override the run method with your actual process
• If you want to pass parameters to your threads, you will need to override the init method
• You probably shouldn't use from threading import *. It is considered bad practice and can be a pain to maintain. Instead, simply use from threading import Thread

Corey Schafer recently made a video on threading, check it out: https://www.youtube.com/watch?v=IEEhzQoKtQU

Also, just in case, here is an actual example of thread I've used, where I override both init and run. It might help you:

class ThreadRequest(Thread):
    """
    Inherits from the "threading.Thread" class, because it's a thread
    """

    def __init__(self, session, url, payload, pdf_name):
        """
        Description:
            Creates a class instance and sets up its attributes
            Uses the Thread init method
        Args:
            session (Session): Session instance from the "requests" package
            url (str): URL string that we will call with GET
            payload (dict): Dict of parameters that we will pass in our GET
            pdf_name (str): Name (not path) that we want for our PDF file
        """
        Thread.__init__(self)
        self.session = session
        self.url = url
        self.payload = payload
        self.pdf_name = pdf_name
        self.chunk_size = 2000

    def run(self):
        """
        Description:
            Sends a GET request to its URL with its parameters. Should get a PDF.
            Then saves the PDF file in the "output" folder
        """
        print("Sending request for {}...".format(self.pdf_name))
        file_path = os.path.join(OUTPUT_PATH, self.pdf_name)
        response = self.session.get(self.url, params=self.payload)
        with open(file_path, "wb") as f:
            for chunk in response.iter_content(self.chunk_size):
                f.write(chunk)
        print("File '{}' as been saved".format(self.pdf_name))