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I read that on previous versions of OS X it was possible via hwprefs but I didn't figure out how to use it on 10.10.* (looks like it was removed).
I need to disable HyperThreading for Wineskin.
Indeed there is a solution, but you have to have Xcode installed.
Search for "Instruments" with Spotlight (cmd+space), open the application and go to the preferences (cmd+,). Select the "CPUs" tab and untick "Hardware Multi-Threading".
However, after restarting your Mac it will be enabled again.