I prefer to do most basic data processing in SAS, and I've used Ian J. Ghent's method for multi-threaded long DATA steps using a single machine. It is very effective in speeding up processing, but it's cumbersome, so I am disappointed that SAS doesn't have this functionality built in into DATA steps with a simple option like this:

data foo / nthreads=8;
set bar;
/* thousands of lines of code */
run;

I also use R for other tasks, and R's parallel processing is always easier than Ian J. Ghent's method and sometimes as simple as the suggestion above.