Often threading really helps an appplication's speed and repsponsiveness, but I don't think it will help speed up your application here. The reason is that both your CSV files and you database are on the same disk drive, but at different disk locations. So alternating between threads will only cause disk thrashing as the disk head continually seeks between the CSV and database locations. On the other hand reading sequential rows of a CSV file from disk is a relatively fast operation compared to seeks, so that is the better algorithm here.
Along the same lines, if you can, read as much of the CSV file into memeory as you can each time. That maximizes sequential reads vs. seeks and should speed up disk I/O on the CSV side. You may also want to see if your chosen database has a "loader" program that is purpose built to quickly import large amounts of data into a database.
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