Its not the same thing as nice. CPU affinity means selecting WHICH cpu does which thread. Its only something you consider on multiple-cpu machines. Nice changes the priority of a PROCESS. Processes are made up of one or more threads. Affinity is which physical CPU processes which thread. The system kernel automatically distributes threads across multiple CPUs but sometimes it doesn't do the most efficient job.
For example if I'm encoding a large video file (which is something I do quite often, the main reason I'm trying to figure out if this is possible), I could have a thread running for literally 10-20 hours. The thread is assigned to a CPU at the beginning of the task, which might make sense at the time... but after many hours depending on what else I'm doing on my machine it might not make sense to still be running it on that CPU. Its a nerdy nit-picky thing, but it would just be nice to be able to shuffle things around so that I'm getting the most out of the machine when I'm running these really long and intensive tasks.