I wouldn't advise threading on windows-phone; also you should avoid threading if you have data that needs to be shared between threads. It can be done but it's not easy.
If possible I would pre-load your user controls (or group of controls) and then show/hide them as they are needed. That should prevent the glitch you are seeing. If you need help with how to preload please post some example of how you are dynamically loading your controls and we may be able to assist you.
If you do need to do multi-threading I would advise using a background worker more details here:
http://msdn.microsoft.com/en-us/library/windowsphone/develop/cc221403(v=vs.105).aspx