Multi-threading best practices

I am writing a dll that does some things asynchronously. some operations with databse, for example. Example:

(new Action(()=>
    {
    // database blablabla
    }
)).BeginInvoke((x)=>{}
              ,null);

I know about threadqueue, about background workers, about the Thread class, etc. my question is: what is the best way to do this? am i doing it right? could this cause any problems in the future?