In my application, I'm compressing ~400Mb of data with LZMA SDK. Naturally, this takes some time. Even after massive Googling, I wasn't able to find any information how to get live progress information of the compress-process. Is this done with some callback function or what?
Did you have a look at the examples provided with the SDK? For example, in the folder CPP\7zip\Compress\LZMA_Alone there's a quite complete reference implementation of LZMA. The file LzmaBench.cpp in this directory contains a whole CBenchProgressInfo class including a callback for progress information.