For a simple start, mainly concerning memory consumption, threads, etc, you could use the jconsole tool which comes with your J2SE (1.5+I think): http://java.sun.com/developer/technicalArticles/J2SE/jconsole.html
Basically you start your app with the -Dcom.sun.management.jmxremote switch, and in another shell start the jconsole Java app to connect to your app: that's all.
In case you need a full blown profiler and are using the free Netbeans IDE, don't miss to check out the amazing profiler for it (also freely available): http://profiler.netbeans.org/
(It's going to still take a few weeks however in order to be usuable with the standard Java 1.5, in contrast to already using Java Mustang beta, the next J2SE release, or an older JDK. See site for more info on this.)