One solution I adopted--for use with java code, but the concept is the same with mexFunctions, just messier--is to return a FutureValue and then loop while FutureValue.finished() or whatever returns true. The actual code executes in another thread/process. Wrapping a try,catch around that and a FutureValue.cancel() in the catch block works for me.
In the case of mex functions, you will need to return somesort of pointer (as an int) that points to a struct/object that has all the data you need (native thread handler, bool for complete etc). In the case of a built in mexFunction, your mexFunction will most likely need to call that mexFunction in the separate thread. Mex functions are just DLLs/shared objects after all.
PseudoCode
FV = mexLongProcessInAnotherThread();
try
while ~mexIsDone(FV);
java.lang.Thread.sleep(100); %pause has a memory leak
drawnow; %allow stdout/err from mex to display in command window
end
catch
mexCancel(FV);
end
