Use the RAISERROR
function:
RAISERROR( 'This message will show up right away...',0,1) WITH NOWAIT
You shouldn’t completely replace all your prints with raiserror. If you have a loop or large cursor somewhere just do it once or twice per iteration or even just every several iterations.
Also: I first learned about RAISERROR at this link, which I now consider the definitive source on SQL Server Error handling and definitely worth a read:
http://www.sommarskog.se/error-handling-I.html