Currently locale generation is serialized with each locale being generated in turn. We could add a Makefile to handle this process which could then be called using the usual make parallelization option which would allow locale generation to take advantage of multiple core systems.
Change implemented in http://git.yoctoproject.org/cgit.cgi/poky/commit/?id=8ea43499885943e1248842e2dfc17060e596be3b