I suppose you need you message  driven bean to listen for certain actions i.e stop/pause events. Certain restrictions are involved when you want to have threads in the container.

For cases like what you're saying, it's better for your message driven bean to only listen for events/actions and act like a dispatcher and then handover the action (per event basis) to a business delegate for stop/start/pause of message processing,

decoupling the MDB of the actual message processing  should be a good solution

I guess you can read through concurrent patterns for best practices in such cases.