Question: I need to remove every fourth byte in the `byte[]` I have. 
Is there some built-in function that could help me to do that or do I have to loop over the array picking and moving each byte one by one?

Similarly what what if I need to place 0 after every three bytes from `byte[]` is there a way to do this faster than manually?

Answer: 
Coding it by hand is likely to be very fast, and the bottleneck is the cpu-to-memory bandwidth.

One core can easily max out the memory bandwidth on a modern machine, so multithreading is unlikely to help since the work done is very straightforward (a single read or write per 4th element.)
Sounds like a good job for a [parallel For loop](http://msdn.microsoft.com/en-us/library/dd460703.aspx) (assuming you can use .NET 4).