Labas vakaras Deividas,
There're few ways to solve this problem:
Simpliest
You have to do your "heavy-duty" loading not in setup(), but in the 2nd frame of draw.
Then on the first frame of draw() you draw your loading message and then on the 2nd frame of draw you do your loading.
And then as of the 3rd frame your game/sketch starts playing.
This should work on all modes.
Proper way
You have to start from within setup() a thread which will be loading your stuff. And in your draw you just show "Loading" message until the thread finishes loading of your stuff. This will work on Android/Java modes.
Icon way
There also may be way to play around with the icon which is shown when sketches are loading(the processing icon). But I don't know how exactly it can be done.
This prob. will only work in JavaScript mode.
