Initialize a Swing user interface in a thread

Question

I just need some advice from people more experimented about Threads and Swing.

The inititialization of the GUI of my program takes a while, so I'm initializing it in a second Thread with a SwingWorker, while I use the EDT to make the user wait, this way :

private static class Initializer extends SwingWorker<Void,Integer> {
    @Override
    protected Void doInBackground() throws Exception {
        gui = new GUI(getThemeElement("laf"));
        initialize();
        return null;
    }
    @Override
    public void done() {
        gui.setVisible(true);
        Loading.stop();//consider that "Loading" is a static JProgressBar
    }
    @Override
    protected void process(List<Integer> L) {
        Loading.setValue(L.get(L.size()-1));//consider that "Loading" is a static JProgressBar
    }

}

I thought it was a good idea because I prepare the GUI in background, and use the EDT to display it in the end. But someone told me to never instantiate Swing elements outside the EDT. So, what is the best way to prepare a user interface without locking the EDT ?

Thank you for your advice !