I am creating an application in Python that uses SQLite databases and wxPython. I want to implement it using MVC in some way. I am just curious about threading. Should I be doing this in any scenario that uses a GUI? Would this kind of application require it?
almost certainly you already are...
alot of wx is already driven by an asynchronous event loop ..
that said you should use wx.PubSub for communication within an MVC style wx Application, but it is unlikely that you will need to implement any kind of threading (you get it for free practically)
a few good places to python threading(locked by gil) use are:

serial communication
socket servers

a few places to use multiprocessing (still locked by gil but at least it sends it to different cores)

bitcoin miners
anything that requires massive amounts of data processing that can be parallelized

there are lots more places to use it, however most gui are already fairly asynchronously driven by events (not entirely true, but close enough), and sqlite3 queries definitely should be executed one at a time from the same thread(in fact sqlite breaks horribly if you try to write to it in two different threads)
this is likely all a gross oversimplification
When should I be considering using threading