If you want both stdout and stderr (and don't mind them mixed together:

#! perl -slw
use strict;
use threads;

sub thread {
    my $output = '';
    open CMD, '-|', q[ perl -E"say( qq[$$:saying $_] ), warn( qq[$$:wa
+rning $_\n] ), sleep(1) for 1 .. 4" 2>&1 ] or die $!;
    $output .= $_ while <CMD>;
    close CMD;
    return $output;
}

printf "Got\n'%s'\n", $_->join for map threads->create( \&thread ), 1 
+.. 4;

__END__
C:\test>t-junk
Got
'33168:warning 1
33168:warning 2
33168:warning 3
33168:warning 4
33168:saying 1
33168:saying 2
33168:saying 3
33168:saying 4
'
Got
'30208:warning 1
30208:warning 2
30208:warning 3
30208:warning 4
30208:saying 1
30208:saying 2
30208:saying 3
30208:saying 4
'
Got
'15844:warning 1
15844:warning 2
15844:warning 3
15844:warning 4
15844:saying 1
15844:saying 2
15844:saying 3
15844:saying 4
'
Got
'15032:warning 1
15032:warning 2
15032:warning 3
15032:warning 4
15032:saying 1
15032:saying 2
15032:saying 3
15032:saying 4
'
[download]

If you only want stderr:

#! perl -slw
use strict;
use threads;

sub thread {
    my $output = '';
    open CMD, '-|', q[ perl -E"say( qq[$$:saying $_] ), warn( qq[$$:wa
+rning $_\n] ), sleep(1) for 1 .. 4" 2>&1 >nul ] or die $!;
    $output .= $_ while <CMD>;
    close CMD;
    return $output;
}

printf "Got\n'%s'\n", $_->join for map threads->create( \&thread ), 1 
+.. 4;

__END__
C:\test>t-junk
Got
'34456:warning 1
34456:warning 2
34456:warning 3
34456:warning 4
'
Got
'32700:warning 1
32700:warning 2
32700:warning 3
32700:warning 4
'
Got
'19172:warning 1
19172:warning 2
19172:warning 3
19172:warning 4
'
Got
'22176:warning 1
22176:warning 2
22176:warning 3
22176:warning 4
'
[download]