Player Fade Out

I have written code that makes the player fade-in when entering the game. I am now trying to achieve a fade-out effect when the player leaves the game. I have a hook in the Player::OnRemove() that starts the fade-out but the problem is the player is removed before the fade-out has time to finish. If I were in programming in MFC i would sit in a while loop pumping the message queue until the fade-out had occurred. What is the best way to wait for this action to finish before proceeding with the remove?

Thanks,

Kurt