By going through ASIO, i find that the I/O Service gets run on a thread and the socket gets created with a I/O Service. So the data for the socket has to be always sent through the same thread. For trying take advantage of data localization, i am exploring whether it would be possible to have a thread per multi-core processor running the io_service::run() method.

You can run io_service::run in several threads, like in "HTTP Server 3" example: http://www.boost.org/doc/libs/1_48_0/doc/html/boost_asio/examples.html

I am just wondering there is a way where in i can change the io_service associated with the socket.

No, you can't move a socket to another io_service.