I have an object that requires a lot of initialization (1-2 seconds on a beefy machine). Though once it is initialized it only takes about 20 miliseconds to do a typical \"job\"
In most cases, I've done this quite similar to how you've set up -- but not in the same language. I had the advantage of working with a data structure (in Python) which will block the thread until an item is put into the queue, negating the need for the sleep call.
If .NET provides a class like that, I'd look into using it. A thread blocking is much better than a thread spinning on sleep calls.
The job you can pass could be as simple as a "null"; if the code receives a null, it knows it's time to break out of the while and go home.