If you download the Panda source and compile it yourself using the ppremake build interface, you can enable threading within Panda by defining:
#define HAVE_THREADS 1
in your Config.pp file. There is more information in the build documentation.
Once you have build a thread-aware version of Panda, you can load models asynchronously (in a sub-thread) with the loader.loadModel(filename, callback = myCallback) interface. See direct/src/showbase/Loader.py for more information on its usage.
David