I read recently that using PeekMessage() to avoid program delays is bad practice and any task that requires you to use PeekMessage() instead of GetMessage() should be run in it`s own thread. Could this be done in an OpenGL app by doing all rendering in a separtate thread? Cheers.

Often you can run all of your game code in the separate thread...and leave the windows loop to handle Windows'' control messages. Alternativly you could have the ogl stuff as a separate thread ad implement the renderer as a kind of queue system (ie you send it messages to render a list of triangles) - although I''m not too sure about how fast this is.