At present, the OCaml runtime does not support running across multiple cores in parallel, so a single OCaml process cannot take advantage of multiple cores. This is unlikely to change directly; the direction the OCaml developers are most interested in taking for increased parallelism seems to be allowing multiple OCaml runtimes to run in parallel in a single process; this will allow for very fast message passing, but will not allow multiple threads to run in parallel in a shared-memory configuration. The major hangup is the garbage collector; some years ago, the team experimented with a concurrent GC, but it introduced unacceptable slowdowns in the single-threaded case.
There are a couple of projects, namely Functory and OCamlnet, which provide multicore-happy parallelism by using multiple processes.
In general, the OCaml community tends to favor message passing approaches, which can be done across process boundaries (like OCamlnet does), over single-process shared-memory multithreading. If your program can be split into multiple processes (many can!), then yes, you can efficiently use multiple CPUs.