How to run multiple session while scanning application through Burp?

While the scanning the application through Burp, I found that if I use multiple threads it is resulting to session errors like (The requested session id appears to be invalid.You may have more than one Task Manager window/tab open)

but if I use single thread the scanning is too slow.

Can anyone explain me how to assign different session id's to different thread so that I can scan through multiple threads i.e if there is anyway I can tell to the threads which cookie to use from cookie jar.