Thread guide

[AbstractUmbra]

Summary

This PR adds a section on the guide for threads.

Checklist

• [ ] If code changes were made then they have been tested.
  • [ ] I have updated the documentation to reflect the changes.
• [ ] This PR fixes an issue.
• [ ] This PR adds something new (e.g. new method or parameters).
• [ ] This PR is a breaking change (e.g. methods or parameters removed/renamed)
• [x] This PR is not a code change (e.g. documentation, README, ...)

[AbstractUmbra]

This is mostly fine, but can we add a section about how to deal with threads when you receive a message from them.

Started on this but needs more fleshing out. Having a bit of issues trying to think of gotchas relating to this to add in. Suggestions on this are very welcome!

[No767]

I will review this sometime this week for my input