In the comments in my last post grauenwolf pointed out there is a similar use of iterators in the CCR. I found this MSDN example as well http://msdn.microsoft.com/en-us/library/bb648753.aspx
I'm not clear how you spawn new threads, but the basic idea is the the same. I'll see if I can write the benchmark using CCR, next time I have a chunck of time free for this sort of stuff.
Updated: Post discussing the CCR and Erlang http://www.infoq.com/news/2008/12/CCR