How does one Implement a Loading screen?

When I Load a certain level my game (on the iphone) just waits for the level to load (3-4) seconds and starts the level

How can I implement a small bar that will tell the player how far its loading or a loading screen

that will play whilst the game loads?

you can create a smaller scene that just display a "please wait" type message and then load the real scene with Application.LoadLevelAsync.

http://forum.unity3d.com/threads/4379-Level-loading-progress

Hi ,
In asset srore is aviable this plug-in:

if you have a long loading period in your game and need to show a simple loading spalsh bar, this can be the solution!