Like in all those cool games, how do they do it? If there are wiki links i need to read .. link me up!
There's actually something specifically for this kind of procedure. I'll spare you the lecture, since there does happen to be an in-depth wiki page about it that you can find here: http://wiki.roblox.com/index.php?title=Custom_loading_screen
Hope it helped, if you have any questions, let me know.
Games usually just make a false loading as they predict on these assets loading time. They would wait until the assets are loaded and lagg is as limited as possible off of a guess