Clojure fns are Runnable so it’s common to use them in exactly the way you posted, yes.
user=> (dotimes [i 10] (.start (Thread. (fn [] (println i)))))
0
1
2
4
5
3
6
7
8
9
nil
Another option is to use agents, in which case you would send or send-off and it’ll use a Thread from a pool.
user=> (def a (agent 0))
#'user/a
user=> (dotimes [_ 10] (send a inc))
nil
;; ...later...
user=> @a
10
Yet another option would be pcalls and pmap. There’s also future. They are all documented in the Clojure API.