Create new Thread with FRunnable

// MyRunnalbe.h
#include "CoreMinimal.h"
#include "HAL/Runnable.h"

DECLARE_DYNAMIC( OnCompleteSignature );

class FMyRunnable : public FRunnable
{
public:
    FMyRunnable();
    virtual ~FMyRunnable();

public:
    /**
    * FRunnable functions
    */
    virtual bool Init() override; // init thread
    virtual uint32 Run() override; // run thread
    virtual void Stop() override; // stop thread
    virtual void Exit() override; // exit thread

    /** On complete delegate */
    OnCompleteSignature OnCompleteDelegate;

protected:
    /** Thread to run the worker FRunnable on */
    FRunnableThread* Thread = nullptr;
    
    /** stop Thread? */
    bool bIsFinished = false;

    /** The Data Ptr */
    int32* DataPtr;
};

// .cpp
#include "MyRunnable.h"

MyRunnable::MyRunnable()
{
    Thread = FRunnableThread::Create(this, TEXT("MyRunnable"), 0, TPri_BelowNormal); //windows default = 8mb for thread, could specify more

    // init
    DataPtr = new int32(0);
}

MyRunnable::~MyRunnable()
{
    delete DataPtr;
    DataPtr = nullptr;
}

bool MyRunnable::Init()
{
    return true;
}

uint32 MyRunnable::Run()
{
    while (!bIsFinished)
    {
        // do something
    }

    return 0;
}

void MyRunnable::Stop()
{
    bIsFinished = true;
}

void MyRunnable::Exit()
{
    // do something
}

Running

// .cpp
// create runnable
MyRunnable* Runnable = new MyRunnable();

// start thread
Runnable->OnCompleteDelegate.BindLambda([Runnable]()
{
    delete Runnable;
    Runnable = nullptr;
});