Most of the answers so far have had to do with the OS scheduler. However, there is a more important factor that I think would lead to your answer. Are you writing to a single physical disk, or multiple physical disks?
Even if you parallelize with multiple threads…IO to a single physical disk is intrinsically a serialized operation. Each thread would have to block, waiting for its chance to get access to the disk. In this case, multiple threads are probably useless…and may even lead to contention problems.
However, if you are writing multiple streams to multiple physical disks, processing them concurrently should give you a boost in performance. This is particularly true with managed disks, like RAID arrays, SAN devices, etc.
I don’t think the issue has much to do with the OS scheduler as it has more to do with the physical aspects of the disk(s) your writing to.