Depends. The real cost is usually not so much that of process creation as that of context switching while running. On most OSs, it is a lot cheaper to switch threads within a process, than switch between processes.

Linux' context switching however is so fast (at least on Intel CPUs) that it can easily masquerade as threading and indeed in that kernel, "threads" are really just forked processes, with a bit of decoration to hide the separation.

So the answer really depends on what you're going to run on. If you're primarily going to run on a modern Unix, fork is usually easier to work with than threads and it has much fewer pitfalls, like paying attention to who is accessing what variables and the likes which you run into when working with threads.