I want to create a background thread on the iPhone that executes some code every 10msec.
But before I get lost in the concurrency programming guide and the threading program
You will have to setup the thread's run loop to repeat, or you can control this from your thread's entry. the thread hosts the timer (the timer will die with the run loop if it's still alive).
NSRunLoop is a pretty small class - check it and the related samples out.