Just thought I'd add some more detail:
SetupLoadScreen("category name", "entry name", integer, "image to use"), so:
void OnLeave()
{
SetupLoadScreen("LoadingText", "Test_entry", 2, "game_loading.jpg");
}
The integer is used to select text at random, between 1 and the number entered. If you just want one piece of text per loading screen, leave it as 0 or 1.
The category and entry name should be set in extra_english.lang:
<CATEGORY Name="LoadingText">
<Entry Name="Test_entry01">loading screen text</Entry>
<Entry Name="Test_entry02">loading screen text 2</Entry>
</CATEGORY>