Well, getting hyperthreading going on a stock kernel seems to be a bit tricky, but here are the options I used to get it going.

CONFIG_MPENTIUM4=y
CONFIG_SMP=y
CONFIG_NR_CPUS=32
CONFIG_ACPI=y

I think the most important of those is CONFIG_NR_CPUS=32 as it wouldn’t find more than 2 processors with it set to 4. dmesg showed 4 cpus, but 2 of them were number CPU_6 and CPU_7.

Oh well, I see 4 little penguins on boot, so it’s working now.