I don't think it is possible using R2WinBUGS. You can set debug=TRUE
to follow the simulations in WinBUGS itself, but it will mess up your for
loop as you will then need to quit WinBUGS manually after each model run.
BRugs shows the same progress as a WinBUGS log file,... as in you can run the model check, initialise parameters, compile the model and update the simulations with output printed in the R console.