constructor TOpenDataSetThread.Create(ACallForm: TCallForm);
begin
  FCallForm := ACallForm;
  FreeOnTerminate := True;
  inherited Create(False);
end;

procedure TOpenDataSetThread.DoProgress;
begin
  if Assigned(FCallForm) then
  begin
    FCallForm.Label2.Caption := FMsg;
  end;
end;

procedure TOpenDataSetThread.Execute;
begin
  inherited;

  FSession := TOracleSession.Create(nil);
  FSession.LogonDatabase := UCons.LogonDatabase;;
  FSession.LogonUsername := UCons.LogonUsername;
  FSession.LogonPassword := UCons.LogonPassword;
  FSession.Connected := True;

  FDataSet :=  TOracleDataSet.Create(nil);
  FDataSet.Session := FSession;
  FDataSet.SQL.Text := 'текст долгого запроса '; 
  FDataSet.OpenRefresh;
  FMsg := 'Выбрано ' + FDataSet.RecordCount.ToString + ' записей';
  Synchronize(DoProgress);
end;

procedure TCallFormFindExecute(Sender: TObject);
var
  DS: TOracleDataSet;
  OpenDataSetThread: TOpenDataSetThread;
begin
  DS := O_DataSet;
  DS.Close;
  DS.Sql.Text := GetSqlText;
  OpenDataSetThread := TOpenDataSetThread.Create(Self);
end;

constructor TOpenDataSetThread.Create(ACallForm: TCallForm);
begin
  FCallForm := ACallForm;
...
end;

OpenDataSetThread := TOpenDataSetThread.Create(Self)?

procedure TOpenDataSetThread.DoPregress;
begin
  if Assigned(FCallForm) then
  begin
   FCallForm.OracleDataSetMain := FDataSet;
  end;
end;