Python threads don't run simultaneously

I'm brand new to multi-threaded processing, so please forgive me if I butcher terms or miss something obvious.

The code below doesn't offer any time advantage over different code that calls the same two functions one after the other.

import time
import threading

start_time = time.clock()

def fibonacci(nth): #can be ignored
    first = 0
    second = 1
    for i in range(nth):
        third = first + second
        first = second
        second = third
    print "Fibonacci number", i + 1, "is", len(str(first)), "digits long"

def collatz(collatz_max): #can be ignored
    for n in range(collatz_max):
        n = n + 1 #avoid entering 0
        solution = []
        solution.append(n)
        while n != 1:
            if n % 2 == 0:
                n = n / 2
            else:
                n = (n*3) + 1
            solution.append(n)
    print "Path for Collatz number", collatz_max, "is", solution

def scripts():
    thread_fibonacci = threading.Thread(target=fibonacci, args = (800000,))
    thread_collatz = threading.Thread(target=collatz, args = (400000,))

    thread_fibonacci.start()
    thread_collatz.start()

    return thread_fibonacci, thread_collatz

all_scripts = scripts()

#wait until both threads are finished
for script in all_scripts:
    script.join()

print time.clock() - start_time, "seconds"

What do I need to do to make the threads simultaneous? Does GIL mean concurrency can only be achieved through separate processes? If so, what is the point of multithreading?

Using Python 2.7.5 on Windows 8.1, quad-core processor. Any help would be appreciated.