procedure Thread1.Execute;
var
  Res: Cardinal;
  Handles: array[0..0] of THandle;
begin
  .............
  Handles[0] := TermanateEvent;
  while not Terminated do begin
    Res := MsgWaitForMultipleObjects(1, @Handles[0], False, INFINITE, QS_ALLPOSTMESSAGE);
    case Res of
      WAIT_OBJECT_0: Terminate;
      WAIT_OBJECT_0 + 1: DoPeekMessages;
  end;
end;

procedure TThread1.DoPeekMessages;
var
  LMsg: TMsg;
begin
  while PeekMessage(LMsg, 0, 0, 0, PM_REMOVE) do
    DoMessage(LMsg);
end;

procedure TThread1.DoMessage(const AMsg: TMsg);
var
  LMsg: TMessage;
begin
  LMsg.Msg := AMsg.message;
  LMsg.WParam := AMsg.wParam;
  LMsg.LParam := AMsg.lParam;
  LMsg.Result := 0;
  Dispatch(LMsg);
end;

procedure TThread1.TMMyMsg(var AMsg: TMessage);
begin
  DoProcess(Pointer(AMsg.WParam));
  SetEvent(AMsg.LParam);
end;

procedure Thread2.Execute;
var
  WaitEvent: THandle;
begin
  WaitEvent := CreateEvent(nil, False, False, nil);
  ............
  PostThreadMessage(Thread1.ThreadID, TM_MY_MSG, WPARAM(@Data), WaitEvent);
  WaitForSingleObject(WaitEvent, INFINITE);
  ............
  CloseHandle(WaitEvent);
end;