Cubase has a setting for using multiple cores, and now so do the HALion series. 
Generally, I would say that (at least) systems like Windows maximizes the use of multi-cores. With more support and use of frameworks and systems like .NET, computers and software will have even less need for user configuration in this regard.
There isn’t necessarily any particular action one must perform, to take advantage of multiple cores.
For example (and not that I know that it does, but as an example) there could be multiple threads running under Cubase even without a “Multi Processing” option. A lot of programs, now old (and a lot of games), spawn multiple threads for various advantages or even for conveniences.
I am not sure what kind of “Multi Processing” Cubase is performing, but I would hope it means more than “just” spawn multiple threads for a few things.
E.g. consider a bunch of unrelated (maybe instanciating some) things processed in a loop where the iterations can be spread out over more cores instead of doing #1… #2… #3… sequentually. This would mean that overall the loop process would complete a lot faster, since literally several things would be instanciated at the same time. Anyways, just an example.
Also, I do not recall what the defaults are for the Cubase versions that supports multi-core processing. One would think that since Cubase is a professional software that it would have a default of “Yes” for using such an advantage, if available. But I am sure that even that could be debated for a multitude of reasons.
In Cubase (6.5, at least) look under Device Setup > VST Audio System, you should see a checkbox “Multi Processing”.
In HALion 4, look under Options > Performance, there should be a dropdown “Multi-Core”. HALion Sonic/SE should have similar options somewhere, but I haven’t used them much of anything.