Starting threads within the application server can be difficult, we often detect that there are better solutions, the resource handling is often not so easy as expected.
Often there is a async solution with JMS possible, but I wait also for EJB3.1 and future objects.
A resource adapter might alos a possible solution.
But what you mean by 'our application' it help to give a more specific answer if you provide details about the current implementation. What do you use EJB, servlet ....?