A thread is a part of program code that can run independently and at the same time as other parts of the program. For example, you could create a thread that controls the motors, while a different thread can watch sensors or user input. Generally speaking, multi-threading is quite a complex topic. To really understand multi-threading, some extra study is recommended.
HERE is the official documentation for the Python threading module.
HERE is a nice introduction to Python 3 threading, but it is not EV3-specific.
Here is an example in which a thread called 'BLINKER' makes the LED flash while the word 'Tick' is displayed 13 (not 12) times on the LCD screen. When the main program stops running the BLINKER thread also stops.
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