Building multithreaded Matlab mex files with Theron
This was pretty straightforward on the Mac, somewhat tricky but not terrible on Linux. I don't have any working C++ compiler with Matlab on Windows thanks to absolutely abysmal support from Microsoft and Mathworks (essentially Mathworks only supports Microsoft and Microsoft's compilers are impossible to get installed correctly). But the notes below may help you get things working on Windows anyway and I added some Windows specific notes at the very bottom. Before trying to get Theron working, I encourage you to write a simple C++ mex program (maybe a single-threaded version of your planned algorithm) and get it built on Matlab first, to confirm that your system is correctly set up for mex.
I'm fairly confident most Mac users can get this working. On Linux I have only tested on 2010 and 2011 64-bit versions of Matlab, and there are reasons to fear that earlier versions may have more trouble working. Fair warning.