There is not really a lot to it, actually the celltable does come with a loading indicator already, you should be able to see it whenever the range changes.
Make sure on the range change implementation of your AsyncDataProvider to call these two methods
updateRowCount();
updateRowData();
If however you feel the need to create a custom loading indicator just create your celltable and use the setLoadingIndicator(widget) method.
CellTable<MyObject> cellTable = new CellTable<MyObject>();
cellTable.setLoadingIndicator(widget)
-George