How do I receive data from a server without waiting for them/receive it while running other code?

Question

I'm making a multiplayer game using Pygame (connection via Socket) and am trying to understand how do I create and update a PyGame screen all the while receiving data from a server telling me to update it. should i create a thread? is there another library i should use? Apologies if this question is redundant or idiotic, I could not find a working solution. Thanks in advance.

this is the client-sided code:

import socket
import sys
import pygame as pg
...
def main():
    try:
        server = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
        server.connect((IP, PORT))  # connect to server

    except Exception as error:
        print(error)  # could be an error connecting to server or establishing the socket


    pg.init()
    server.send(packed("add_me_lobby"))  # sends request to add to lobby
    screen = pg.display.set_mode((960, 720))
    font = pg.font.Font(None, 32)
    clock = pg.time.Clock()
    in_lobby = True
    finished = False  # sets up the pygame window that will be used for the lobby and game

    while True:
        if in_lobby:
            for event in pg.event.get():
                if event.type == pg.QUIT:
                    finished = True
            if finished:
                break
            screen.fill((30, 30, 30))

            title_text = font.render("DiceWars", True, BLACK)
            screen.blit(title_text, (350, 170))  # creates and renders caption
            users_text = font.render("Users Online", True, BLACK)
            screen.blit(users_text, (800, 170))  # creates and renders caption

        server_cmd = server.recv(BIG_BUFFER).decode()  # receives server command
        ...

        pg.display.flip()
        clock.tick(30)

    pg.quit()
    server.close()


if __name__ == '__main__':
    main()

(code is not done or whole, only relevant things are included)