Thanks Evil_Giraffe, I was coming to nearly the same solution.
I did digg into TPL, especially Producer/Consumer Patterns
My actual approach goes like:
UDP-Listener Raises an Event MessageIn (with the message in the Custom-eventargs)

GUI reacts on this event by putting the recieved message in a BlockingCollection (which would be the producer)

The Consumer is started by the GUI just after creating the UDP-Listener as a seperate Thread, it looks like this:
Code:
Private Sub MessageConsumer()
   Dim MessageIn as Byte()
   Do
      MessageIn=BlockingMessageCollection.Take
      Parse_Message(MessageIn) 
   Loop
End Sub
At the first look it does what I was looking for.