Intel MKL 9.0 doesn't provide wrappers for trigonometric transforms. If you want to use MKL FFTW3 interfaces for this, you should upgrade to MKL 10.2 or later versions. Alternatively, with MKL 9.0 you can use trigonometric transforms with a special interface (look into MKL 9.0 documentation, section "Partial Differential Equations Support" -> "Trigonometric Transforms Routines"). Examples of using these can be found in directory examples/pdett of your MKL installation.
To the question aboutbenefits,Intel MKL provides performance optimized functions, and this is the main benefit.However, if youare concerned withportability,then a more popular interface may be the choice, such as FFTW.
OpenMP threads should be harnessedautomatically, provided that you linked your application with proper (threaded) library,perform recommended call sequence to employ threads [e.g. FFTW interface requires a call tofftw_plan_with_nthreads() be made in advance], and/or set environment [e.g. OMP_NUM_THREADS=4]. Details should be found inthe product documentation.