A Session is supposed to be single threaded... you can't reuse the same consumer or session created objects on multiple threads. (this is the same as JMS Sessions)
You could have your client being multi-threaded, but you always need to lock any access to the session or its inherited objects.
If you select using multiple consumers, be aware that there's a buffer on each consumer unless you disable client buffering. (this is also described on the manual)
Sorry, we tried a new test to see if we can multiple uncommitted messages, and you can (we did a test yesterday and it didn't work for some reason). Sorry, my bad