Using threading in conjunction with Panda will be very bad, unless you have built a custom version of Panda that is thread-safe (the default Panda provided here is not compiled to be thread-safe, because enabling thread-safety causes additional overhead which makes it run overall a little bit slower).
But if you have a thread-safe panda, you can just use the callback parameter to loader.loadModel() to load your models in a sub-thread automatically, and call your function when it’s done. No need to spawn threads directly.
But you don’t need to use threading to solve this problem. Another approach is to call base.graphicsEngine.renderFrame() from time to time while you are loading models, so you can update the wait bar as you go.
David