Aaron Patterson (@tenderlove) uses an example almost exactly like yours to describe exactly why you can and should use threads to achieve concurrency in your situation.
Most I/O libraries are now smart enough to release the GVL (Global VM Lock, or most people know it as the GIL or Global Interpreter Lock) when doing IO. There is a simple function call in C to do this. You don't need to worry about the C code, but for you this means that most IO libraries worth their salt are going to release the GVL and allow other threads to execute while the thread that is doing the IO waits for the data to return.
If what I just said was confusing, you don't need to worry about it too much. The main thing that you need to know is that if you are using a decent library to do your HTTP requests (or any other I/O operation for that matter... database, interprocess communication, whatever), the Ruby interpreter (MRI) is smart enough to be able to release the lock on the interpreter and allow other threads to execute while one thread awaits IO to return. If the next thread has its own IO to grab, the Ruby interpreter will do the same thing (assuming that the IO library is built to utilize this feature of Ruby, which I believe most are these days).
So, to sum up what I am saying, use threads! You should see the performance benefit. If not, check to see whether your http library is using the rb_thread_blocking_region() function in C and, if not, find out why not. Maybe there is a good reason, maybe you need to consider using a better library.
The link to the Aaron Patterson video is here: http://www.youtube.com/watch?v=kufXhNkm5WU
It is worth a watch, even if just for the laughs, as Aaron Patterson is one of the funniest people on the internet.