I would like to make JProgressBar in new JDialog, witch will be in separate thread from main logic. So I can start indeterminate progress with just creating new JDialog and comp
Show the progress bar in the main thread (where all your swing stuff is going on), and do the intensive background work on a separate thread.
The UI will be responsive all the time (since you don't block the main thread), and you can notify it when you long-running task is done.