What is the most efficient way to load resources asynchronously?

In my project I have many quite large assets that I’d like to load async. As far as I’ve read the docs and forums/answers I only have two options here. Either I create a scene for each asset or an asset bundle for each asset since I do not want to load and unload whole bundle each time i’d like to load just one asset. Is there something else that I might have missed? Is using Resources.Load in a thread too risky?

Unity 4.5.3 added Resources.LoadAsync