Do something like this:
def function_that_downloads(my_args):
# do some long download here
then inline, do something like this:
import threading
def my_inline_function(some_args):
# do some stuff
download_thread = threading.Thread(target=function_that_downloads, name="Downloader", args=some_args)
download_thread.start()
# continue doing stuff
You may want to check if the thread has finished before going on to other things by calling download_thread.isAlive()