TWorkThread = class(TThread);
  procedure Execute; override;
end;

procedure TWorkThread.Execute;
begin
  DoSomeGreatWork;
end;

procedure TMyClass.GetData;
var
  Threads: TList<TThread>;
  i: integer;
  procedure ReceiveData;
  var
    Response: IResponse;
    Thread: TWorkThread;
  begin
    Response := GetDataFromServer;
    Thread := TWorkThread.Create;
    Thread.Resume;
    Threads.Add(Thread);
    MoreData := Response.HasMoreData;
  end;
begin
  Threads := TList<TThread>.Create;
  repeat
    ReceiveData;
  until not MoreData;

  // Wait for threads to finish
  for i := 0 to Threads.Count - 1 do
  begin
    Threads[i].WaitFor;
    Threads[i].Free;
  end;

  // Do further work
  ...

  Threads.Free;
end;