I have created some Web API REST methods that will be called by handheld/Windows CE clients. So the server may be hit by multiple (well, will be is more like it, the question being how many) requests simultaneously.
Do the REST methods automatically take care of this, or do I have to explicitly add threading code so that one client's request does not interfere with anothers?
No need - the asp.net framework already pools a number of threads for handling a number of requests concurrently.
Incoming requests are enqueued, and pooled threads take their turn at dequeuing requests and handling them.
You can find more about how asp.net handles this here: http://www.codeproject.com/Articles/38501/Multi-Threading-in-ASP-NET
Edit
You should, however, defer CPU/IO-intensive workloads to other threads (preferably using TPL), so that the threads managed by asp.net remain responsive.
Warning: if you do spawn new threads while handling a request, make sure they have all finished before returning from the "REST method". You may think "I'm gonna return to the user asap, and leave a thread in the background saving stuff to the database." This is dangerous, mainly because the Application Pool may be recycled, aborting your background threads. Read more here: http://haacked.com/archive/2011/10/16/the-dangers-of-implementing-recurring-background-tasks-in-asp-net.aspx
Do not return until all threads have finished.