How to create a thread/Task with a continuous loop?

Something like this would work:

var cancellationTokenSource = new CancellationTokenSource();
var task = Repeat.Interval(
        TimeSpan.FromSeconds(15),
        () => CheckDatabaseForNewReports(), cancellationTokenSource.Token);

The Repeat class looks like this:

internal static class Repeat
{
    public static Task Interval(
        TimeSpan pollInterval,
        Action action,
        CancellationToken token)
    {
        // We don't use Observable.Interval:
        // If we block, the values start bunching up behind each other.
        return Task.Factory.StartNew(
            () =>
            {
                for (;;)
                {
                    if (token.WaitCancellationRequested(pollInterval))
                        break;

                    action();
                }
            }, token, TaskCreationOptions.LongRunning, TaskScheduler.Default);
    }
}

static class CancellationTokenExtensions
{
    public static bool WaitCancellationRequested(
        this CancellationToken token,
        TimeSpan timeout)
    {
        return token.WaitHandle.WaitOne(timeout);
    }
}