Hi Stefano,
You can create an Event based on system stored procedure sp_iqconnection. It measures #threads of a connection in a given time. Threads are tightly dependant on cpus :
The column IQThreads contains the number of IQ threads currently assigned to the connection. This column can help you determine which connections are using the most cpu resources.
Note that a connection threads usage is limited by MAX_IQ_THREADS_PER_CONNECTION.
Regards,
Tayeb.