Play while loading

technically you could do it. but you would have to write your own loader manager. You can do that without threads. Just have a function that gets called every few frames to load more materials. Once the key materials and meshes are loaded that you need, then you can begin play. Problem with loading large meshes materials and music is that it takes time. which means that the game can hitch cause its reading from the HD for physical materials. the only way to fix that is to break meshes/materials up into smaller chunks. I will assume you did not have a java loader that loaded only a few bytes at a time, so you would have suffered the same problem if you had been loading large contents.