You can make OS level threads, but they can't be both running at the same time due to the GIL (Global Interpreter Lock). Then why are they even there you might ask? Because it allows you to do a blocking call on a thread and to keep executing other stuff in the main thread. Other languages that have a GIL (and the same restriction) are Javascript (including Node.js), Ruby and Python.
Now, IN PRACTICE, things are a bit different. You're never gonna make your own thread to block on things. You're gonna use Lwt to manage all your concurrency so you can do tons of blocking stuff at the same time and combine the tasks nicely without ending up in a Node.js-style "callback hell".
But still, even with tons of concurrency, you don't have parallelism. It's all you need for 98% of your programs, but if you then need to do heavy number-crunching it won't be enough. This is the exact same situation that happens in Node.js, Python, etc, except that OCaml is massively faster than those languages, so even some CPU-bound work is acceptable because OCaml is really performant.
Currently, there's 2 options if you wanna do CPU-bound work: you can use ctypes to call C code easily (from Lwt_preemptive) and then release the lock from within C with caml_release_runtime_system(), so your C code will be truly parallel (and running in the thread pool automatically managed by Lwt_preemptive), and you can call caml_acquire_runtime_system() before returning the result back to OCaml to get the lock back and merge back with the normal code.
The second option is to do an oldschool fork() and communicate with message-passing. Or have a master that manages workers and communicates with ZMQ, HTTP, TCP, IPC, etc. Or use a library that does it all for you like parmap, Async Parallel, etc etc.
What this "multicore support" means is that you'll be able to have threads in the same process that run in parallel because the GIL is going away. In practice it'll probably be implemented directly into Lwt so you'll be able to do something with Lwt_preemptive and just tell it to run some function in a separate thread and then use >>= to handle its result. It's gonna be simpler than both options I described above.
Again, more technical information is available in my r/ocaml post